Did the drive come with software on it already? Security etc.? There could be something in that software not approving that size of file. I always delete all that stuff on a new thumbdrive because sometimes it won’t let me do what I want to do until it is gone.
If it does the same thing with a different file of equal or large size then it’s either the format (FAT32 vs exFAT)on the USB drive or a bad USB drive.