Based on your question, and what's been written in the comments, it actually sounds like a bug in the piano software. It could be that the piano can record a certain amount of data, but not keep up properly with the data stream, or handle errors properly, and therefore quits after a certain point, resulting in the read/write error message.
Judging by the list provided by Bacs of compatible USB drives (see comments above), it looks like it'll support most generic USB flash drives, meaning, it's not very "fussy". I suspect that a lot of testing didn't involve recording for more than a few minutes, and that's why the bug didn't show up on their radar. Or it did, but they decided to ship anyway.
Of course, without more info from other CP50 owners, it's hard to say for sure if the problem you're having is just a fluke or not. I see that model only has 3 reviews on Amazon.
But if you've tried 3 different drives, 3 different models and all have the same error result, odds are it's a bug. You could format the drives in your computer and double-check to make sure that the flash drives themselves are not defective. Use a drive utility on them just as you would a hard drive to see if it finds any errors. Keep in mind you want to do a complete "surface scan".
I have a digital Yamaha YDP-142. It has an option to initialize the settings, kind of a like a "factory reset". If yours has that option, the instructions should be in the manual. On mine it's a very quick and easy process.
Another thing you could try is figuring out which "version" your USB flash drives are that you've tried recording with: 1.0, 2.0, 3.0? And edit your question and add that information to it.
One alternative to recording using a USB drive is to use a double ended audio cable (3.5mm plug on both ends). Plug one end into the headphone jack of your piano (using a 1/4" adapter if necessary), and the other end into the AUX jack of a computer. Use Audacity or some other program to record the piano's output.
It sounds like a lot of steps, but it's really not. The biggest problem for most people would likely be having an extra computer that can sit near the piano (or just get a very long double-ended audio cable). As for the cost of the extra equipment: Under $10 USD for the cable and 1/4" adapter. Good software to use you can find for free. As for the extra computer if you need it, if all it's going to be doing is recording, you definitely don't need anything top-of-the-line, just something that'll boot and run your recording software.