Unfortunately Apple makes this more difficult than it needs to be. By default Disk Utility hides the physical drives from view. Within Disk Utility you may need to click "View" and select "Show All Devices" before the physical drives appear on the left pane of Disk Utility. Make sure you select the physical drive to erase. Whether you use a GUID partition type or MBR partition type depends on where this USB stick will be used. If it will be used only with another computer (OS does not really matter in most cases), then I usually stick with GUID partitions. If, however, you will be using that USB with a car, TV, or other such device, then use the partition type that device (car, TV, other) requires.
Now, some drives can get into a state where even erasing the whole physical drive is not enough to allow it to work with macOS.....or perhaps the physical drive is not even seen in Disk Utility. In that case, the best thing to try is using a Windows system to delete all partitions on the drive by using the Windows Disk Management Utility. Once all partitions have been removed, you can try creating a new single partition & whatever file system......you will be using Disk Utility to erase the whole physical drive again once you connect it to the Mac just to make sure the drive has a file system Apple has created & understands (FAT32, exFAT, or Apple's own file systems).
If you are familiar with the command line, then it is also possible to use the command line to write zeroes to the beginning of the drive to destroy the partition table & make the drive appear blank. Disk Utility is usually happy with this as well in order to allow the blank drive to be "erased".
It is also very possible you have some bad USB sticks. Unfortunately the quality of USB sticks is extremely poor which does not help matters any.
FYI, it is always recommended to erase the whole physical drive of any new drive you acquire. Manufacturers can place some odd partition tables, file systems, and even hidden data on their brand new drives. Sometimes this hidden data within the partition table can negatively impact the OS and some disk utilities.
Edit: Also, erasing the whole disk can sometimes allow you to detect whether you may have received a fake or worn out/failing products. Unfortunately there are many scams within the various third party marketplaces where this has become more common.