Just install to the desired USB drive; the live USB image is set up for installation/recovery purposes, not general use. The one caveat with USB for your root pool is that you must keep the disk in the same USB port otherwise the boot will fail as the port is part of the boot device path stored in the pool.
Running the important rpool on USB stick is not my favorite configuration. I would recommend reducing your data pool down to 4 devices and putting your root pool on the 5th disk. People ask about this in the datacenter and I wrote a best practice for it, which is not to use a USB stick for rpool, here:
Your data is important, but the root pool is very important for keeping your data available. In the datacenter, we also worried that rack vibration might wiggle the stick right out of the drive. For home use, I've heard about pets jumping on boxes and disconnecting disk cables. Sounds paranoid, but I've seen it/heard it all.
There is no reason why you can't put rpool on a USB stick, some operations might not be easy (see Dave's post), but I don't think its the best choice for optimal data availability.