Yes, Sia is completely portable. It does not create any folders in Roaming or elsewhere, only subdirectories alongside the siad program. (EDIT: Sia-UI might create a Roaming folder, but if it does it doesn't contain anything important)
I'm interested in what other people think about this though. There are two options: 1) keep everything inside one folder, or 2) spread it out into Roaming/homedir/etc. (Bitcoin takes the latter approach)

The advantage of 1) is that it's very clear where everything is on-disk. It's easy to backup your entire Sia install or move it to a new computer without having to copy your wallet.dat separately.
The advantage of 2) is that you can overwrite the wallet program without having to worry about losing your wallet.dat (and the blockchain db, which is less important but a pain to re-download). Whereas in 1) we'd have to create an install script that would copy the wallet.dat for you so that unsuspecting people don't accidentally overwrite all their money.

Basically, 1) seems harder on the programmer and 2) seems harder on the user. So personally I'm in favor of 1), but I'm interested in hearing the opinions of people who are more familiar with Bitcoin and other wallet programs.