Looks like issues with adding “execute” permissions to USB file system.
Just to check, what is the format of USB?
I think Windows formats like NTFS/FAT32 don’t accept Linux permissions.
It may be possible with Linux formats like EXT4.
EDIT: If USB is currently using Windows format and you only plan to use USB on Linux, it may be better to reformat using Ubuntu’s Disk Utility.
If you want to keep using USB on Windows, then you shouldn’t reformat since Windows cannot read EXT4 format. In which case, you need to change mount permissions as discussed below.
Alternatively, you can try (re-)mounting drive with execute permissions.
I don’t know if there is option in GUI mode.
There should be a Terminal command to remount.
Not too sure exact option, but maybe something like
sudo mount /<usb-mount-path> -o remount,exec