Once your registration is loaded it is not using the USB because it is held in the internal memory of the keyboard
This is not strictly accurate!
If you include a style in a registration, each time that you select that reg. it loads the style from it's storage location.
So if your registration includes a style that is stored on a USB drive, then if you select that reg, it will try to access the USB to load the style, even if it only changes the variation of the style already playing!
Over the years there have been numerous forum posts about problems involving the USB Audio recording function on PSRs. It seems very 'fragile', so if you change to a different reg which includes a style while the keyboard is recording audio, it might well upset the system and generate the error message.
If you are using registrations which include a style stored on USB, try moving the style to the User area and make the registrations again so that they load the style from here. Then see if you can record the audio without successfully.
If you still get the error, then it may well be that you need to use a dedicated USB for audio recording as has been reported previously.
Regards
Ian