How do I reformat a USB to APFS for large game file transfer on MacBook Air?

Here is an Apple article to erase the whole physical drive as suggested by @John Galt:

Erase and reformat a storage device in Disk Utility on Mac - Apple Support

FYI, you need to use the "GUID Partition" type when you erase the whole physical drive in order to have APFS as an option

You *may* need to format the drive as MacOS Extended Journaled first. Then reformat it to APFS. At a minimum it's worth a try.

Is this a flash drive or is it an external USB drive (if so what is the make & model)?

Select the device and erase it. The "device" in this context is the USB hardware that cannot be renamed.