How do I transfer all my photos from iPhone XS Max to USB?

See this Apple article: Transfer photos and videos from your iPhone, iPad, or iPod touch

Transfer photos and videos from your iPhone, iPad, or iPod touch to your Mac or PC - Apple Support

-> tranfer to your iMac then to an external hard drive.

OR

If the iPhone / iPad has an Apple Lightning connection port, you can use a SanDisk iXpand flash drive to use as an external hard drive. They are available in various sizes.

You can also use that iXpand flash drive as a tool to save the photos to a real external hard drive afterwards.

iXpand Flash Drive are available at Apple Store and at Apple Authorized Service Providers.

iXpand flash drive app can be downloaded from the App Store.

See -> SanDisk iXpand-flashdrive Go -> SanDisk 64 GB iXpand Flash Drive Go - Apple

Then download the SanDisk iXpand Drive app from the App Store, see -> 

https://apps.apple.com/us/app/sandisk-ixpand-drive/id1079870681

See whether this guide published by Apple helps 👉 Transfer photos and videos from your iPhone, iPad, or iPod touch to your Mac or PC

Axel F.