Hmmm good one.
You would need to mess with the syslinux bootloader. Not too hard.
Have a search on the pendrive for syslinux, or maybe it is using grub. But that's the first step, to be able to edit the bootloader to add more boot options.
Then once you sort that, you need to get the other distro's on there.
Off the top of my head I would suggest installing the other distro's on their own USB drive with UNetbootin and then copy that entire FS off onto your main USB drive, perhaps putting in its own folder. All depends on the first though really.
Just thinking out load here...