Have you tried restarting the phone to see if it will resolve the issue. Also, you have to have a USB cable to use the USB tethering. So if you don't have the cable, you can't use the option anyway. And, some devices, due to the carrier/service provider you are connecting through, cannot use USB tethering, or in some cases not even any tethering.
Now you could try turning the phone into a "Hotspot" and connecting whatever device you are trying to connect, and give it internet access that way. Just know that if you are doing this through a data plan, it can drain your data fast. Especially if doing this with a laptop or for gaming.
To use the phone as a "Hotspot", if it is at all possible, it would be done this way...
1. Go into...