Streaming music from the usb-drive AND writing your recording to it at the same time is very optimistic but indeed asking a bit too much from that usb-bus.
Indeed 2 separate drives; one for loading music from and one for writing recordings to is the most stable way to go.
In the main- or recording-menu you can perfectly choose where you want to save your recording.
It’ll all be fine 
Do note; your recording will have a low volume audio output… there are tons of threats to be found here about that. Know 1 thing; low audio volume = more headroom = better for end-mastering your mix // full squashed-clipped audio volume can not be restored anymore…
This topic gives some intell on the subject of finalizing your mix