I've had USB devices that don't show up in the priority before. It's going to be a bit different because I have a fairly different BIOS, but I had to go into a separate more advanced menu and select it to force it to boot from there. I can't give exact advice since I'm not familiar with your BIOS, but see if you can find another menu that lists all the devices attached to your computer and if it falls under a boot device menu (but not the boot priority menu).
I can't give a much clearer explanation than that because it's a lot easier to explain with ASUS' UEFI, but I did manage to find my USB this way with an older dell computer BIOS