This is very simple reason.
When you run AutoCAD, AutoCAD will search for all folders on search paths in options. If your USB is already plugged in PC AutoCAD will find it and will be able to load all files from it, but if your USB is not plugged in, AutoCAD will not find it (because it don't exist yet), but later when you run command in AutoCAD it will not search for drive it could not find at run time, so it will not be able to find files.
You have only two choices:
1) You plug in USB before running AutoCAD.
2) Move files to hard drive on PC.