Hey, Vumadin! Our games are only supported to run on Internal drives, for Mac APFS and HFS+ are the only two formats that are supported. If the thumb drive is using NTFS (Windows partition), it’s not officially supported to run on the Mac.
As for the out of storage space issue, how much space is left on the internal drive? Is there any “purgeable space” on the storage drive? Sometimes, Macs will show the space as available, but there’s old temp files or lingering files that is taking up the available space. This article may be help to free up the space on the system.