How can I save live photos on a pendrive?

I'm transfering my iPhone photos and videos to a pendrive through my Mac, and there's some live photos. I'm sending everything via AirDrop, and at first I chose "save to downloads," but then the photo didn't move. So I tried saving it to photos, and there it works fine, but when I drag it to the pendrive, it doesn't move. I don't want to lose the "live" quality of those photos but I don't want them stored in my phone or computer either. Can anyone help?