Hello,
Windows Defender is a software that helps identify and remove viruses, spyware, and other malicious software. To answer your question, you have to manually scan the pen drives/ usb drives by clicking Home> Custom> Scan now> and choose which drive you would like to scan.
We suggest that you leave a feedback regarding your concern in Windows Defender to our Feedback Hub, so our engineers and developers will be able to read your query. Type Feedback Hub in Cortana and then log in using your Microsoft account.
Do let us know if you have any other concerns.