I was asking about players, not drives.
How exactly are you doing this? Exporting using the export command is not the same as dragging files to a different drive. Exporting generates a text listing of files. Dragging simply copies the files. Then, as I said before, unless your player is smart and can read the internal tags the files simply get played by the order according to file name.
Burning an audio CD will burn special audio format files in the set order, but then it is in an audio format CD, not a normal data CD.
Here's related information, but this is for making a mp3CD and may not be the process needed for your flash drive:
iTunes: How to set the play order of songs on an MP3 CD - http://support.apple.com/kb/HT2455