USB-FDD stands for "floppy disk drive" which never works with USB flash drives, so in this case you should choose USB-HDD instead. Even though a USB flash drive is not a hard disk drive choosing this option frequently works. A zip drive is a removable floppy disk storage system that is mostly obsolete like floppy disk drives, so you shouldn't
Then, there is the actual bootloader itself, i.e. the first bit of code that executes when a computer boots from USB. Unfortunately, HDD/USB and ISO bootloaders are very different beasts, and the BIOS or UEFI firmware also treat USB and optical media very differently during boot.
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