@hornblower
You may need to format new USB storage device before using it for first time.
1- Connect usb otg cable with phone and usb storage device.
2- select 'USB mass storage' on phone.
3- from your phone, go to folder icon > Local > USB
Note
Before disconnecting USB drive, go to storage > unmount USB storage.
If it still doesn't connect, go to storage > mount usb storage or restart phone.