I already tried to install onto the USB stick from a Dell Poweredge R510 and also a Dell Latitude E6410 notebook. Neither worked.
All USB devices are enabled in the BIOS.
My method was to burn the EsXi ISO to CD > boot the server from the CD > Select a Disk to install or Upgrade > and here I only see the local SATA hard disk available. USB and SD cards are not visible.