attach keyrings - many drives come with a little hole
if not find a spot you can screw in a tiny picture hook loop screw
or stick on a picture hook sticker.
Or with a knife, scrape a groove around the edges, tight some string very tight around it, so it stays in the groove & attach a keyring to that.
or, depending on the size & shape of the drive, you can buy little lip balm lids, that have a plastic loop on, these are usually soft plastic & can often be squeezed onto the drive firmly