I recorded my audacity file on my windows 10 laptop. When I plugged in the flash drive containing previous audacity files and attempted to save it to the drive. When I did I received an error message saying PROJECTS CAN NOT BE SAVED TO FAT DRIVE. I know that is not the case because there are at least 30 other audacity files that were not exported and just saved as audacity files on the drive. I recorded an entire podcast episode and I know that if I start over and re-record it will be unnatural the second time around. If anyone can help me figure out of to save my audacity file to a USB after recording that would save my life. I need to use the individual files to edit.
It’s the new AUP3 format starting with Audacity 3.0.0. It’s the nature of the database and it’s not going to change. 
I have been able to copy an AUP3 file from my hard drive to a USB thumb drive, re-name it, copy it back to the hard drive and open it. I don’t know if there are any “issues” with that but it worked once in my experiment.
That should be fine.
The only expected “issue” is if you try to open the project while it is on the USB thumb drive. This is because thumb drives are typically formatted as FAT, which is an ancient format that does not support secure database transactions. NTFS has no problem with secure database transactions.