How to add a Linux partition to a USB thumb drive?

I just got the 2018 Sixth Edition of the book, _Linux in Easy Steps_, and on pages 22-23 it suggests using a USB memory stick ("thumb drive") as a backup medium. I deleted all the Windows files from a 64GB Patriot thumb drive, but it still has the Windows file system on it. When I tried to back up Linux to it I got the message, "Selected device does not have Linux partition."

How do I add a Linux partition to the USB memory stick?