You might need to install the operating system on said USB. Which means you might have to have the OS installer on a different drive, load that, and then select the other USB as the location to install the OS. Kinda weird they're called live USBs if they aren't live though.
I've never had that issue with none of the distros I've installed, so probably is just a thing of some linux distributions.
Not every distribution comes in a live-CD/USB format. The majority are just installers. The ones that let you mess around with a sample system before installing are just a handful of particularly fancy ones.
The most harmless way to try these out is with a virtual machine. You could use VirtualBox or Virt-Manager and boot the ISO in a VM, give it maybe 20GB for a virtual drive, and delete it when you don't want it anymore.
If you mean what I think IRRC you need to mount the hard drive,
fdisk -l
will list the drives
mount DRIVENAME
(probably /dev/sda or similar)
if I misunderstood you maybe you're looking for something like https://unetbootin.github.io/
If these two are giving you trouble then just use a virtual machine instead.