As suggested, you can not prevent copying usb files unless you create your own usb file format. You do this by using a raw read/write usb library. In this case you will also need to supply you own player because standard players can not read the files.
The other more common approach is to encrypt the files with DRM. If you can stream rather than use usb look at
https://learn.microsoft.com/en-us/azure/media-services/latest/drm-content-protection-concept