Hi AP47,
Thank you for reaching Microsoft Community.
When you connected the thumb drive, does the device make a notification sound?
May I know the brand and capacity of this thumb drive?
Have you tried other thumb drive or other USB devices? If yes, does the device detects the other devices?
Which processor does your Surface Pro X has? SQ1 or SQ2?
Please try these steps below to troubleshoot:
1: Run Surface Diagnostic Toolkit and check Windows Update
2: Disconnect/reconnect the thumb drive
3: Check on Device Manager for driver error
While the USB is connected, open Device Manager
Check if a USB 3.0 driver is getting an error or disabled
Right-click the driver if there is and choose Enable device (if error is disabled)/ Update device (if error is not working properly)
Hope this helps.