Encrypting a USB for use on Mac *and* Windows
I'm 99% sure native cross platform support for full disk encryption doesn't exist. With 3rd party tools, it is achievable. 

Is FDE a strong requirement? If not, you could just use an encrypted container (uncompressed zip, 7z, etc). Don't decrypt the container on the drive itself, else it will be easily recoverable with basic software after its deleted.

Windows: https://www.7-zip.org/ ,
Mac: https://www.keka.io/en/