you're using a super old filesystem, probably FAT32
you can skip the xz step so you can store it on your storage medium then uncompress it as you dd, i.e.
xz -dc my.xz | dd of=/dev/sdx status=progress conv=fsync bs=1M
you can skip the xz step so you can store it on your storage medium then uncompress it as you dd, i.e.
xz -dc my.xz | dd of=/dev/sdx status=progress conv=fsync bs=1M