Quick answer: make sure the thumb drive is formatted using a Master Boot Record (MBR) partition in either FAT32 or ExFAT format. The MBR partition format is key.
If formatting a device on a Mac, the default partitioning uses a GUID Partition Map. Make sure you change this to Master Boot Record and you’ll be all set.
More discussion in these posts:
Why Can’t PS4 Media Player Read My Drive? (Yes I’ve tried the Obvious Stuff) from PS4