The USB would not be able to connect directly to the phone. Phones don't that kind of USB port.
You would either need an adapter to convert it over to a connection that can access the phone, and then hope that the phone will actually recognize it. In some cases you would need a specific app to so so, in other cases well it just won't recognize the USB drive.
OR you can connect the USB drive to a computer, copy the movie over to the computer. Then connect the phone to the computer, via USB cord, and copy the movie to the phone (or the phone's SD card).
Now if it will run on the phone is a whole other story. It will depend on the the type of movie file it is and if the phone will actually play said files. You may need to get a different video playing app to make it work. However, just remember, movies usually are very large files and will take a lot of space. They will also drain a battery fast.