I've been running DF on my USB for a few days, and I've got some data to report. The game runs perfectly, no dropped FPS compared to running from the computer's hard drive. It hasn't even hiccuped more than once, and that was during end-of-year autosave. Loading the game takes less than a minute and saving takes a couple minutes, but it's not that big of a hindrance since I'm usually doing other things. The only thing that took a substantial amount of time was when I decided to generate and save a new world (medium size, 250 year history) as a test. Saving it took about 15 minutes. I was starting to worry the program had frozen completely, but it did sort itself out eventually.
Is your thumbdrive USB 3.0? If not, it might be unbearably slow. I tried running a persistent Linux on a 128GB USB 2.0 thumbdrive and it took minutes to even open basic system utilities. A USB hard drive would have better read/write times, and be less volatile (less risk of memory loss with too much use.)
It's 3.0, yeah. The stick I'm using is almost brand new in terms of use, so I'm not worried about wearing it down too quickly. If I end up doing this for any prolonged period of time I'll probably look into a usb hard drive instead.