I've never tried that. From the top of my head:
-> Both the stick and the interface should be at least USB3, I guess. I doubt whether the performance of a stick would suffice, though.
-> I've often read of people using external harddisks and ssds to run their virtual pianos from (such as our #1 hoarder @Jose EB5AGV ) and from what I read, that works. Also assuming USB3 or other fast data transfer.
-> If you use a desktop computer, of course the best is to put an additional and/or larger ssd in it, hooked up to the motherboard through SATA600 or m2.
Cheers and a happy expansion,