If you mean using a physical bootable USB drive such as to install Windows 10/11 OS or some variant of Linux into a VM

The VM firmware needs to be EFI. So the line

firmware="efi"

needs to be present in the vmx configuration (or choose UEFI for the Firmware type in the Advanced in the Options tab)

Once firmware is set to efi, follow these steps

Assuming you are using Workstation Pro
1 Select "Power on to firmware" from VM -> Power menu
2 Connect the USB drive to the VM from the VM -> Removable Device menu
3 Choose "Power off"
4 Choose "Power on to firmware" again, "EFI USB" should now appear as one of the boot options

Player does not have Power on to firmware in the menu, but needs editing of vmx and the steps would be different.