Don't use a thumb drive, use an external hard/solid state drive or install an internal drive. Even an aliexpress 64gb ssd for $10 is better than any thumbdrive. Thumbdrive's flash and controllers are not designed for OS level continuous writes and will die very quickly.
If you must use a thumb drive, add some kind of air flow over it, and disable all logging features in openWRT to reduce writes as much as possible.
My guess is log files are being written to it? Might want to install a proper drive internally and redirect log storage. With less activity the USB drive should not heat up anywhere near as much.
If you have docker containers and other stuff all on that USB drive I'd really reccomend getting it all off that USB (not just logging) and onto a proper drive of some kind. USB thumb sticks are not reliable long term storage, you will wake up to find the drive failing one day and good chance you lose everything on it with little to no warning.
Another option would be to redirect logs to a ramdisk. That's what I'm doing on a RPI to try to minimize writes on the sd card. The biggest downside is that you lose your logs when you power off the device, but if the alternative is not having logs at all, I think it's still a better option.
Of course, installing a proper drive is still the best solution.
I wouldn't call it normal. It's the norm because the market is flooded with crappy drives using JMicron chips. Buy something with a Realtek or Asmedia chip and it will work fine without getting hot.
How does one find out what chips are in what USB sticks? Manufacturers don't make this information available. At best you just find read and write speeds, usually just the max possible read speed and nothing else.
As others have said, thumb drives are generally designed for lighter loads than running an OS, so yours probably just doesn't have enough of a heat-spreading design to keep it cool.
To help you investigate what's causing the thumb drive to be accessed so much, the iostat -d -x 1 will tell you what its percentage utilisation is (rightmost column). You can then use sudo iotop to see what processes are using the drive.
In the long run though, I'd definitely recommend switching over to a cheap SATA SSD, especially since your mini PC will likely let you install one internally somewhere. In my experience, your system will probably feel snappier too!
UNRAID is designed to run off a USB drive, they have recommendations on what USBs to buy on their site, might be worth a gander. You should be able to write all the info on your current USB to the new one without having to reconfigure anything.