The infotainment reads WAVs, FLACS, Mp3's etc from external storage. I use FLACS mostly, but have some MP3 and Wavs and all play fine on a USB C stick.
If the USB is blanked out, it sounds like the USB is not formatted correctly. Fat32 is apparently the correct one for Mazda.
Are all your folders on the stick actual readable folders and not transfers from the likes of iTunes etc?
Have you tried both USB ports? I seem to remember on my PHEV only the second port would recognise the USB stick, for whatever reason that may have been.