Boot MacBook Pro from USB stick
USB thumb drives behave much like internal hard drives in terms of booting from it on a Mac.  Therefore, it depends on what you have on those drives.  If there is "just data" on the USB stick, it will, very much like "data" hard drives, not show up at the boot picker.

As a test, you can try to install a for your system supported version of Mac OS X onto the USB stick and then see whether it shows or not (I would understand that it will show thereafter as all Intel Macs can boot from USB).

NOTE: For obvious reasons, you should back up whatever you have on the USB stick before attempting this.