Find the thumb drive with lsblk, dmesg, or sudo fdisk -l. In the following examples we are using /dev/sdc1, replace as needed.

sudo cryptsetup --verbose --verify-passphrase luksFormat /dev/sdc1
sudo cryptsetup luksOpen /dev/sdc1 encrypted_usb
sudo mkfs.ext4 /dev/mapper/encrypted_usb

Now we can mount the drive. We are mounting it to /mnt change if needed.

sudo mount /dev/mapper/encrypted_usb /mnt

Or go ahead and close the channel and remove the drive

sudo cryptsetup luksClose /dev/mapper/encrypted_usb

Command Explanation

sudo cryptsetup --verbose --verify-passphrase luksFormat /dev/sdc1

Wipe /dev/sdc1 and set the password when prompted for it.

sudo cryptsetup luksOpen /dev/sdc1 encrypted_usb

Open up a secure channel to the drive, and decrypt it so we can access it

sudo mkfs.ext4 /dev/mapper/encrypted_usb

Using the channel we created in the previous command, we can now format the drive.

sudo cryptsetup luksClose /dev/mapper/encrypted_usb

We can now close the channel for the drive and remove it.