How do I back up my iPhone to a thumb drive?

AFAIK, you can't. At least not directly. One potential option would be to backup your phone to iTunes/Finder, and then, copy the backup to the thumb drive. However, as you will see from the following article, Apple does not recommend this.

Ref: Locate backups of your iPhone, iPad, and iPod touch - Apple Support

You don't. You can. back it up to your computer or to iCloud.