You cannot install to a removable device using the default Calamares installer.
The installer do no support the necessary configuration of the bootloader to be able to mix the running system with the newly installed system.
To get a grip on how to do such USB installation you could read this topic.
USB connected drives/devices are not created equal - depending on how the device identifies itself - the installer reacts differently. Normally it is not possible to use Calamares to install using a removable deivice - probably because the Calamares developers are aware of the implications involved with installing to removable devices.
This brings us to the core of this topic - you want to do something which is not supported - and doing what is not supportee requires extended knowledge of what needs to be taken into consideration. You will need to account for the boot loader installation which - when using GRUB requires you to specify the target - your usb device and to specifiy the --removable argument and subsequently a verification that the removable installation does not contain references to the system in use when installing to the removable device.