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Probably best to ask this in whatever specific game you're referring to's hub, because it may vary from one to another.
If you mean "a usb stick" and not "an external drive" then it's highly unlikely to work *very well*, because of the speed of data coming to and from said stick. But a DRIVE is intended for that, so an external might work just fine. Again it will depend on the game's requirements. I have many of my games on an external drive, but I cannot remember exactly where all their specific mods are stored.