USB memory sticks have a finite lifespan (measured in reads & writes).
With a modern stick, you are probably not going to hit it for a long time.
I would however suggest that you have some backup scheme to back the file
up to a hard drive regularly, and with increasing frequency the older the
stick becomes.
I don't know of anyone actually having tried this, so you are in uncharted
territory.
Do you want to do this so that you are able to transport the PST or in an
attempt to increase performance?