How can I delete files on my USB when it is connected with my MacBook Pro?

Hey Dipak_Varsani,

You should be able to delete files from your external drive using the same steps you would for deleting content that's stored on your Mac directly. This article explains how: Delete files and folders on Mac - Apple Support

1. "Delete an item from your Mac or iCloud Drive
2. On your Mac, drag the item to the Trash in the Dock or select the item, then press Command-Delete. If an item is locked, click Continue to confirm you want to move the locked item to the Trash.
3. To search for and locate files you want to delete, see Narrow your search results. 
4. If an item is locked, you need to confirm you want to move it to the Trash, or unlock the item before putting it in the Trash. To unlock the item first, select it, choose File > Get Info (or press Command-I), then deselect the Locked checkbox. If you’re not logged in as an administrator, you may need to click the lock  to unlock it, then enter an administrator name and password (or use Touch ID or your Apple Watch)."

Thanks!