I think it is due to the FAT32 max file size limitation. You can read more about file systems here: Transferring a 4GB or larger file to a USB flash drive or memory card
In short, you most likely need to format your USB drive to a different file system. There are many ways to do that, but the most intuitive way to me is using the GNOME Disks application from the AppCenter.
WARNING: this will delete everything from your drive, so make ure it does not contain anything you might need later!
After installing it, plug in your drive, launch the application, select your drive in the left column and then click the gear wheels and select
Next, give your drive a new name and select NTFS (or you can use the
Other option to select exFAT) and click the
Next button and then the big red
After it completes, replug your drive and try copying files again.