What causes chmod to not work on an ssh file in OSX?

I'll bet your USB stick is formatted as FAT, FAT32 or NTFS. OS X's Unix-style permissions are not compatible with FAT and FAT32 filesystems. Additionally, by default, OS X cannot write to NTFS volumes. Make sure the USB stick is formatted as HFS+.

And finally, the file containing the SSH private key must have permissions set to 600 and the folder containing the file must have permissions set to 700

You can solve this problem with

$ cp /Volumes/disk/.ssh ~
$ eval `ssh-agent`
$ chmod 400 ~/.ssh/*
$ ssh-add ~/.ssh/school

but this does not solve the original prob i.e. without copying ssh-keys to computer to add keys to the daemon