There's an electrum_data folder that stoes the name of every wallet you have also (as it's where it stores the wallets).
Where is this folder specifically in Linux and in Windows?
Linux is ~/.electrum I think and windows is C:\users\user\appdata\local\electrum_data\
Should be the data directory location.
Though I'm not sure for Windows is it's called electrum or electrum_data.
And just to be clear, if I have a wallet file in an USB, and I go to Electrum, and open this file from the USB, electrum will make a copy of the wallet and put it in that folder? because I don't want to store a copy of the wallet anywhere else but on the USB.
The config file uses absolute directory path which means it probably keeps iton your pendrive and doesn't copy it over (almost certain on that).
You could also choose to encrypt the entire wallet file whcih can be done on setup (near where you input the password for the new wallet) it'll ask if you want to encrypt the wallet file. If that box is ticked, it encryptes the entire wallet file. If not, it encrypts just the private keys.
Yes, my entire wallet is encrypted so you can't open it, I just don't want the filename to be saved on there.. it's just not necessary.
EDIT: actually, scroll down the the bottom of the config file to the "recent files" part and edit the names at the bottom/delete the lines of the wallets you don't want to show up (WARNING I HAVEN'T TESTED THIS YET - BACKUP THE ENTIRE FOLDER FIRST).
EDIT: tested and works, DO NOT DELETE THE FIRST AND LAST LINES IN THAT LIST AS THAT CAUSES IT TO RESET ELECTRUM, it doesn't delete wallet, just makes it a bit annoying as you then have to import them.
What config file are you talking about?
Directly in the data folder, you get files. If you spot a file called blockchain_headers it's in that same directory it's just called config (don't think it has a file extension).