Hi Martin Cooke1,
Thank you for reaching Microsoft Community. We're sorry for the trouble this has caused you.
I am aware that your Surface Pro is giving you difficulties since it keeps asking you to insert a USB security key even though you haven't made a USB recovery key. Let us work on this together. I value the time and effort you have given out, especially in trying to resolve the problem.
Kindly try to open Device Manager and expand the contents of the Universal Serial Bus Controllers category. See if you have the USB security key driver, if it's showing on the list select Uninstall from the context menu then restart your Surface to see if problem persist.
If that doesn't work, check this article and follow the solution from this article Set up a security key as your verification method - Microsoft Support. Navigate to "Delete a security key from your security info".
Let me know how it goes.
Kind regards,
Lavenia