Your USB Drive or your removable media do not have a Recycle Bin unlike your desktop, and as such, anything you delete from it is just simply gone, with no option to recover it easily. You can however create a Recycle Bin for your USB Drive/Memory Stick/Removable Media using iBin or USB Recycle Bin software and customize it to your needs.
Recycle Bin for USB Drive & Removable Media
The iBin software is a full portable program to work from any removable device in any Windows operate system and language environment.
Just unzip the compacted file and extract the iBin.exe file into any removable device folder. Run the iBin.exe and follow the instructions. The iBin will create the container folder and the necessary files system in the device’s root folder. Once the installation is done, the iBin work in the operate system background.
Just delete any file or folder using the Del key or a command in the right-click menu; the iBin will detect the action and offer the option to dump the files. The data selected can also be dumped or erased using hotkeys.
The iBin keep a track of every file and/or folder dumped, to be easily restored when necessary. If the dumped data is already present in the container, its name is modified. Visit iBin download page. on sourceforge.net. Do read the Documentation & User Guide.
USB Recycle Bin
USB Recycle Bin protects you from accidental file deletion from your USB drives.
USB Recycle Bin is designed to work precisely like that of Windows. Any files deleted will be sent directly to the designated USB Recycle bin for further scrutiny before actually being deleted forever, giving an excellent safeguard against unintentional data loss. It is available on softpedia.com.
Hope this helps.