Can you copy any other file to the USB drive?
Is the USB drive a USB stick or a USB hard drive or SSD? The quality of USB sticks is extremely poor so try using another USB stick especially a different brand (SanDisk seems to have a better reputation than most other brands). What is the make & model of the USB drive?
Is the USB drive connected directly to the Mac or through a USB hub or dock, or some sort of adapter/dongle?
What is the exact model of the Mac and version of macOS? You can get this information by clicking the Apple menu and selecting "About This Mac".
Did you use Disk Utility to format the USB drive?
Try rebooting the laptop and trying again.