How to improve the speed of a USB flash drive?

Although the speed of USB2.0 is much higher than the speeds you're seeing (480Mbps if I remember aright) the actual speed that the device can write to its internal flash chip is considerably slower.

Cheap USB 'pen drive' memory sticks tend to have cheap flash chips which are quite slow to access. More expensive SSD drives have multiple chips of a higher quality, which can both individually write faster and, due to the multiple quantity, write in parallel.

So it is highly unlikely you will be able to increase the speed of the flash drive without ditching it and spending hundreds of dollars on an SSD device.

Matt Jenkins isn't wrong in his description of hardware, but there are plenty of software reasons for poor performance. You could use a tool like any of these to test and get metric numbers.

The operating system & filesystem type of the USB will determine the size of the writes and the # of threads. Tell us some details about the OS / USB FS and how you're writing to it and we can get a clearer answer.