Unless size is a problem, the easiest thing you could do is backup locally and download to USB through Admin Console in a web browser.
Otherwise, it should be like mounting any disk in Linux. (Assuming you are not using Windows)
Below is a rough idea of what that would look like.
Find the drive name:
lsblk, before and after you plug the USB in - so you know what changed.
Code:
sda 8:0 0 32G 0 disk
├─sda1 8:1 0 31G 0 part /
├─sda2 8:2 0 1K 0 part
└─sda5 8:5 0 975M 0 part
sdb 8:0 1 14.5G 0 disk
├─sdb1 8:1 1 2.6G 0 part
└─sdb2 8:2 1 6.9M 0 part
sdb likely is your USB if you only have one disk.
Create a mount point:
mkdir /mnt/USB
mount /dev/sdb1 /mnt/USB
lsblk should now show the mount point next to it.
Code:
├─sdb1 8:1 1 2.6G 0 part /mnt/USB
Under the Admin Console > Backup > Location, you should be able to select /mnt/USB as your "Folder/Path".
When you are done,
umount /mnt/USB
Your mileage may vary, I have not tried this, and I may be missing a step I am not thinking of.
I hope this helps, let us know how it goes.