I don't have a USB drive so this is nothing more than a stab in the dark......

cdrecord -scanbus

Hopefully your USB drive shows up there. If so it should be mountable something like /dev/sda

If you can mount it i would think that you could partition and format it.

cfdisk /dev/sda

mkswap /dev/sda1
swapon /dev/sad1

Then maybe (if you're really lucky) the next time you boot knoppix it might just see your swap and use it. Please post back either way as this is something I'd like to explore further in the future.