DLP policy to monitor every file copied to USB drive

Hi Afsar_Shariff 

This isn't exactly something you can set from a policy perspective through DLP. You could do a policy that looks for file types or file extensions versus sensitive content, but you'd likely have a long list to enter for file extensions.

You can enable "always audit file activity for devices" in endpoint DLP settings which you can then monitor the auditing through Activity Explorer but this will not alert you. 

You can also follow along with this article for Auditing read, write, and execute attempts to any USB, which is configured through Microsoft Intune.

Microsoft Defender for Endpoint Device Control Removable Storage Access Control, removable storage media | Microsoft Learn