Definitely look for portable SSDs rather than flash drives. Different technology, usually significantly larger (physically). Easily saturates a USB 2.0 connection, so look for USB 3.0.

Back when Microsoft supported Windows To Go, they had a short list of verified drives to use. Surely outdated now but might be a good starting point.

FWIW I used to run Windows 10 off a Samsung T5. It worked fine, except that it would always shut down when I tried to suspend. Still works as far as I know, I just haven’t used it in a long time.

There’s nothing wrong with installing a .deb manually.

Personally, I’d hesitate to add any third-party repos unless there is a very good reason. In this case, the only real difference is that you won’t get the updates automatically with sudo apt update; sudo apt upgrade without the repo. Either way, the desktop app will notify you when updates are available. There’s very little advantage to using the repo.

Adding a repo is very rarely required. It has deeper consequences than simply installing an app, and requires a higher level of trust. If you don’t understand the security implications of adding a repo (and its associated key), then my advice is: just don’t.

That page lists multiple installation methods, for multiple distros. There simplest one for you is just two steps.

1. Download .deb installer

2. Run apt install ~/Downloads/MullvadVPN-*_amd64.deb

It’s not that complicated. That’s just confusingly written. And caters to a wide range of users.

MacOS also supports exfat out of the box. So do most Android phones, TVs, consoles, etc.

It’s only viable choice for cross-platform use, AFAIK. Not the best fs out there by any means but I still use it on my all my USBs because I need them to work everywhere.