For USB pen drives to work with the PS2, for example to transfer saves with u/wLaunchELF, they have to be formatted as Fat32.

I'm using an 8GB Cruzer Blade, and it's working fine. Have seen people saay you shouldn't use one over 2GB, but maybe that info's out of date.

To format in Linux:

1. Insert/mount disk, and run lsblk to list. Note where your drive is (See §lsblk Example, where it's 'sdg'. Where I write [drive] later, replace with your equivilant of 'sdg')
2. Unmount with your file manager or: sudo umount /dev/[drive]
3. Now we use parted to partition the disk. I like to run commands separately, but parted also has it's own shell. First set the disk type: sudo parted /dev/[drive] --script -- mklabel msdos
4. Make the partition: sudo parted /dev/[drive] --script -- mkpart primary fat32 1MiB 100%
5. Use mkfs to create the actual file system: sudo mkfs.vfat -F32 /dev/[drive]1
6. And finally check to see that everything worked: sudo parted /dev/sdb --script print. Make sure there's info in all the columns.

...
sdg      8:96   1   7.5G  0 disk 
└─sdg1   8:97   1   7.5G  0 part [address]
...