For performance, I would not use a USB stick, and as far as I know, this isn’t supported as well. I would recommend an external hard drive or for best performance the internal SSD.
If you still have problems, you should reset the FCPX settings. To do so quit FCPX then find the FCPX program icon in the application folder and hold down the command and option ...
As far as I know FCPX is not excepting external USB to work on your project. It has to be an internal or external drive. You certainly can move the project to an USB when you finish or to transfer between computers.
I also would not recommend to have your media on an USB for performance reasons as well.