You would be best off by using a USB3 drive, if the hardware in the stick is fast enough it can get into the range of standard hard drive transfer rates. Ideally if you can find a review of one that gets >40MB/s transfer and >1MB/s on random 4k reads you might not notice much of a difference.
On the other hand, slow USB2 or SD saves will take FOREVER to load... if you need to load 1GB of files for the game a standard drive will do it in under 20s (or so) while a USB/SD at 10MB/s will take well over 100seconds to load the same files.