Hello Don,
Yes, once you have a USB thumb drive inserted in the back of the unit, you can save screen shots directly onto it. Just got to make sure that the Function Gesture is set in the menu for Screen Capture as a two finger quick tap or long tap. To check if it's setup, Select Home, Settings, General, This Display and under Two Finger Tap Function or Two Finger Long Tap Function and set one of them for Screen Capture.
Thank you,
YachtyBoy