I have seen this issue before with thumb drives you get from a promo at a tech convention etc. Designed to be written to once and then read-only from then on with no ability to make into a useful read/write thumb drive for anything other than the original intent to run the program/presentation etc that the vendor was promoting.
I cracked a few of these open hoping to find a trace that was cut etc that disabled the WRITE to flash, as for some flash drives have the ability to disable the write feature by a switch, but the circuit appeared to be a single write design, then forever to be read-only from then on.
Is this a flash drive you bought or got for free from a business etc as a promo? If this is a flash drive you bought, verify that it doesn't have a write protect switch that is set to read-only.