UPDATE: Solved by using a NTFS thumb drive. It turns out that audacity that won't save files to a FAT32 partition.
Just installed audacity-linux-3.2.1-x64. I opened an AUP file on a FAT drive and made a few changes, but now audacity tells me I am not allowed to save to a FAT drive. But... it is the same drive and the same folder where I opened the file.
What's up with that? Is it because the drive is locked?
Thanks!