It is not a built in feature, but you can script it.
That was a feature of Virtual Server but has long been gone along with Virtual Server.
Most cases for creating and tossing differencing disks (what happens with the non-persistent disk under the hood) are controlled by some management layer. Whether it be some VDI engine or even what Azure does.
Learn. Apply. Repeat.
Disclaimer: Attempting change is of your own free will.
Thanks for the reply Brian. Is there an easy way to make the disk not accept changes? Im doing software installs and such and would just like to reboot and start again instead of uninstalling, rebooting and re installing. Im testing out an automation script.