Hi Coiner1,
We don't support running MultiBit HD off a thumb drive.
We've a write up of why this funtionality caused problems in Classic (and hence why we dropped it) in the help item:
https://multibit.org/en/help/hd0.1/backups.htmlIt's the section:
What about storing wallets directly on USB keys ?
tl;dr USB thumb drives cause too many problems with people losing their wallets and backups.