If I refer to a local external USB drive by it's network UNC name (\\mycomputer name\SharedAsName) is there a performance penalty vs. referring to the local name (d:\)

You will go through the redirector, and I have seen a case when a large file was being referenced in that manner an issue occurred where all network access to the share suddenly failed. In our case we were restoring a SQL Server backup on a fairly large database using the UNC path. This was on Windows 2000. When we changed it to refer to the local drive, the problem went away. There are still some issues with 2003. For instance:

All network share access through the SMB protocol (client-side redirector) may fail on a Windows Server 2003-based computer

An alternative solution is to mount that USB drive under an empty folder on an NTFS volume (using junction points), so the drive can be referred to as C:\Mounted\USB or something similar.

Create the folder, then go into Computer Management > Storage > Disk Management, right-click on the partition and "mount under this folder".

This will not change even if the driveletter assignment does.