How so? Storage is storage isn't it? Floppy disks can have autoexecs on them.
There are USB sticks, in the wild, which impersonate a keyboard. When connected to a computer, at some point, they will send keyboard commands to the computer in an attempt to fire up PowerShell and run commands that install malware.
In general, you should not use a USB stick unless you know its provenance. Consider them highly dangerous. Be especially suspicious of USB sticks that you find “lost” near your business, since somebody may be targeting your business—this is a common technique both for pentesters and for actual criminals.