Kari,
First, there is no reason to put anything inside the C:\OTVDM folder (except perhaps the program used in the dosemu= line in otvdm.ini, but you can put that program anywhere, and use a full path in the dosemu= line in otvdm.ini). The point of otvdm is that 16-bit Windows applications act as much as possible like 32- and 64-bit applications, so you can put them anywhere on your disk, just as you can with modern Windows applications. I use drive E:\ for DOS and 16-bit Windows applications, so I have XyWin in E:\XyWin.
I probably wouldn't want to put a 16-bit program in a directory with a long file name (like C:\PROGRAM FILES (x86)) because I don't want to see something like C:\PROGRA~1 in the program's file dialogs, but otherwise, it's probably easiest to put the 16-bit program's folder inside a root folder, as in E:\XYWIN, or, if you prefer a limited number of folders in the root folder, perhaps in a folder named something like C:\WINAPPS\XYWIN.
Again, there is no logical reason to put the XyWin directory structure inside C:\OTVDM, but if you have chosen to put it there, it makes no difference where you decide to put it. With otvdm, it doesn't matter at all where you put a 16-bit application; if the application tries to write to C:\autoexec.bat, otvdm will trick it into writing to C:\OTVDM\C\autoexec.bat. If the application tries to write an INI file to the Windows directory, otvdm will trick it into writing the file to c:\otvdm\Windows (this is what happens when I run WordPerfect for Windows 5.2 from E:\WPWIN52).
I think it's probably simpler and safer not to put any applications into C:\OTVDM, but if you've already set up the application there, and it works, there's no strong reason to change it now.
Next, about running a persistent command.com: Have you tried Carl's suggestion to rename Wengier's START.EXE as COMMAND.COM and use that for the dosemu= line in otvdm.ini? Following that suggestion, I can run this
DOS/nv/z cmd
and open a command window that stays open. Is that what you're looking for?