I created an EFI Live USB stick for the minimal ISO of Fedora 22. When I boot from it, grub said
error: file '/images/pxeboot/vmlinuz' not found error: you need to load the kernel first
Although this is a solved bug from here, but apparently it is not fixed.
Follow the instruction, change the path in boot line from
/images/pxeboot
to
/syslinux
and that’ll fix the problem.