Make sure to format the USB drive as FAT32. Are you using a storage device that has more than 2TB? Do you have a system with UEFI? Let us know in the comments.
If you have a Surface Book 2, Surface Book 3, Surface Pro X, Surface Pro 7, Surface Pro 7+, or other supported Surface devices, then you can use the Windows 11 Settings app to boot into UEFI mode.