Interestingly, I don't think I ever heard anyone call one of these a ThumbDrive.
I usually say "USB Flash Drive" or "Pen Drive". Other terms I usually hear include "Flash Drive", "Memory Stick", "USB memory key" and "USB stick".
In the past I use to say "Memory Stick" until I realised this is also a trademark, but for the Sony's flash memory card product line "Memory Stick Pro", "Memory Stick Duo", etc.
When the first USB flash drives came out, I mean with 64MB and 128MB capacities, I use to hear people calling it a Disgo due to that brand being popular at the time.