As CZ says; if you get an mp3 player which can be mounted as a removable storage device, which is most of them, you can remove the requirement for a "USB drive" completely because that's in essence what the mp3 player is.
What you're asking for won't exist, at least theoretically. USB uses a client / host type of architecture. Eg, if you plug a USB drive into a PC, the PC is the 'host' and controls the 'client' USB stick.
USB sticks and mp3 players are both client devices, so if you were to hypothetically connect them together there'd be nothing to initiate the connection. They'd essentially sit there forever listening for the other end to start talking, like a phone call where no-one says "hello?"
There's a workaround of sorts for this. You can connect two clients with a "USB On The Go" cable, which gets around the problem. So your question then becomes, "do any mp3 players support USB OTG?" The answer to that is a big old "I've no idea." It's supported on some devices - my Nexus 7 tablet will do it, for instance, but it needs root to work to its full potential. There may be other phone handsets which to it also.
But all that is academic, because as per the first paragraph it shouldn't be necessary.