The good news is, yes, it’s possible.
First, you need to explain how "they disappear" when you turn the keyboard off. Surely, they’re still on the USB stick, and can be loaded from there. What’s wrong with that setup?
When you say "store it on the keyboard", do you mean transfer it to the User drive? If so, it can be done, but there’s some work involved.
Cheers,
Fred