What causes chmod to not work on an ssh file in OSX?
I'll bet your USB stick is formatted as FAT, FAT32 or NTFS. OS X's Unix-style permissions are not compatible with FAT and FAT32 filesystems. Additionally, by default, OS X cannot write to NTFS volumes. Make sure the USB stick is formatted as HFS+.

And finally, the file containing the SSH private key must have permissions set to 600 and the folder containing the file must have permissions set to 700