Generally, no. A USB flash drive is passive storage—no CPU, GPU, RAM, or OS to execute code.
Steam Deck, ROG Ally, Legion Go, Gaming Laptops can run games *installed on* a fast external NVMe/USB-C SSD (2000+ MB/s). The device provides compute; the drive just holds assets. A standard flash drive (100-400 MB/s) is too slow for modern titles.