Now I have installed the windows back and created three more partition one is for Kali and one for Ubuntu or mint and one for data..
Windows 10? It will create an EFI partition by default. However, you must also boot into UEFI mode with the Kali USB so that you can use this EFI partition for the bootloader.
Also, have you disabled secure boot from your BIOS? Some distros require this to be disabled before you can install them, just a quirk that Microsoft introduced to make installing other OSs annoying. Check the requirement for Kali and whether this is needed or not.
It doesn't matter which one you install first. When you are in the live environment, check the mount point of /boot:
This will show which device is mounted as /boot. After this, verify whether the device listed is same as the EFI partition:
If this is verified, then during install, the windows boot loader will get added to GRUB automatically during install. If there is a discrepancy in any of these commands (empty response or error) then perhaps something is not right.
Also if Kali works with live USB I don't want to install it I can use from pen drive.. but again there is no option to boot into live mode..
It's better to install because performance will be somewhat slow in the live environment. Also, no persistent storage (for most distros) so any saved files will be lost on next reboot.