"Opening" a file is not magical. This means: running some local application which will read the file contents, and do something sensible with them.
A USB flash drive is a storage device; its purpose is to store bytes and give them back when asked to. When you "open", say, a video file on a PC, the following happens:
- The operating system on the PC tries to infer the file type, based on clues such as the end of the file name (the so-called "extension"): if the file name ends with
.mp4, then the OS will think that "this is a video file".
- The OS launches its video file reading application (e.g. Windows Media Player, or VideoLAN, or whatever was registered in the OS as "the default video file reading application"), giving it as parameter the file name.
- The application will then read the file and process it, e.g. playing the video before your amazed eyes.
Now a video player will not normally save a copy of video data in other files; however, it may save some meta information. For instance, when I "open" a video file on my PC (which runs Linux), the default media player begins playing it. If I close the player, then "open" the same file again, the software asks whether I want to "resume playback" at the point I left previously. This can happen only if the player remembers that I played that file before, and where I stopped; this must be written somewhere, and, in particular, it is not written in the file itself, or (apparently) in the same directory. Basically, this means that some information (including, probably, the file name) is stored in a directory in the local hard disk. This answers your question:
- Yes, it may happen that the names of files that you play may be stored somewhere on the playing device. It routinely happens for millions of PC.
- No, usually, the file contents won't be saved on the playing device, because it is way too large to make this strategy viable.
- However, if the video file was downloaded from "the Internet" at some point (e.g. Youtube), what the device saves might be enough to reliably identify that video later on (assuming that the place from which it was downloaded still has it).