I’ve had success watching via portable solid state drives. Not USB thumb drives, but the terabyte portables. Just got to make sure the read/write speeds are good enough for video.
I just plug it into my ROKU ultra USB port and use the media player on there, or plug it into the USB port of my UHD Blu Ray player and watch it from there.
The UHD Blu Ray player allowed me to select the various audio tracks, I have not figured out how to do that with Roku’s built in media player.