If you have joined in Apple Music membership, you can download Apple Music songs to iTunes or Apple Music app for listening offline, but you not allowed to transfer Apple Music from iTunes to USB drive, because all Apple Music songs are DRM protected, when you have downloaded Apple Music to the computer, the downloaded songs are M4P files, even you have copied them to the USB drive, you can't play them. How to Transfer Music from iTunes to Any MP3 Player How to Transfer Spotify Songs to USB Drive