Hi Anonym Cat,
I am Dave, I will help you with this.
Are you sure the game will fit onto a 32GB USB?
If you change where Windows installs new apps to, from the Microsoft Store, that USB would need to be connected to your PC all the time and should not be removed.
Open the Settings app, then go to System - Storage - Advanced Storage Settings.
Click 'Where new content is saved'.
There you can set where new apps will be saved to.
.