There are many USB thumbdrives that are fast and reliable, but they are not the cheap.
If you look online or in a store and the read/write speeds are not specified, then you can assume that the thumbdrive is too slow.
Here is a site that publish tests performed by owners of USB flash memories. There you can see that the speeds varies a lot. Usually read speed is OK, but to use for calibre you also need fast write speed.
http://usbspeed.nirsoft.net/
I would suggest that you get a high end thumbdrive from one of the major brands. SanDisk, Lexar, Maxtor, Kingston, Corsair.
Anything slower than 20 MB/s read/write might be considered as too slow. And even that is quite a bit slower than the read/write speed you can expect from a normal harddrive in a new laptop. But MUCH faster than most cheap USB thumbdrives.
One of the fastest I have seen for sale is the Kingston Datatraveler Workspace 32 GB for USB 3. Kingston specifies both read and write speeds of 250 MB/s. That is fast! But it is not cheap.
It would be much cheaper, and easier to use, to keep the calibre library on the built in harddrive and get a few cheap USB thumbdrives to use only for backup. Then the speed doesn't matter as much, especially not if you backup using some sync utility that only has to transfer changes to the thumbdrive.