The size of the backup depends on how many tracks, albums, artist etc. are in your library … my Roon backup is 132 GB but that’s for 99 copies … so that’s circa 13GB per backup.
I don’t foresee a problem using a thumb drive (memory stick) but they are quite slow so it might take a while for the backup to complete.
I think you just need to experiment and see if the performance is acceptable or not.