USB flash drive as a Safepoint target? That’s probably a first to be mentioned here.
First, the backup media (USB flash drive in your case) has to be as large or larger than the content stored on the My Cloud drive. Safepoint backups are not compressed. How much content is stored on the My Cloud? See the My Cloud Dashboard Capacity to see approximately how much space is used and size your backup media accordingly.
Second the backup media must be formatted in a format supported by the My Cloud. That means, for the single bay My Cloud, it must be one of the following three formats: NTFS or HFS+ or FAT32.
Just a wild guess but I’ll assume that in addition to the USB flash drive possibility being in the wrong format, that 256GB USB flash drive is likely too small to hold the backed up My Cloud drive contents, unless one has less than 250GB stored on their My Cloud.