Sony does not allow you to do the transfer of save games PlayStation 5 on external USB devices. The installed system software forces the user to make the transfer exclusively to the PlayStation Plus cloud. Unlike using a PlayStation 4, in which you could back up to an external USB device, the PlayStation 5 backup requires a subscription. By going to the context menu, the user does not have the possibility to choose whether to transfer the save of a PlayStation 5 video game to a USB device, instead it is possible to backup a PlayStation 4 save.
The system software Sony allows you to transfer your saves from PlayStation 4 to PlayStation 5, so for example by playing Call Of Duty: Black Ops Cold War you can transfer the save from PlayStation 4 to PlayStation 5, then transfer it to a USB device. A save created on PlayStation 5, such as Demon's Souls, does not allow transfer to a USB device.
