First I will list everything I tired to avoid repeat answers.

Yes, the PS3 does recognize the thumb drive and it lets me save my game but I can not retrieve it. It says "There is no save data".
I know it's there because if I resave the same info it asks if I want to overwrite the data.

I have tried it from the PS3, verified on my computer it is there and it still says "There is no save data" when putting back on the PS3
I have also manually created files on my thumb drive as recommended, PS3, SAVEDATA, SKYRIM same message
I have renamed them after saving from my PS3 it gives me the same message and when I do this it renames the last folder something else entirely called BLUS-30 yada yada.

Anyway. I have heard people highly recommending this before uploading Dragonborn hence why I want to do it. Thanks for your help.

I think you have to move the files back and forth using the console, not the game. The game may not be able to read from the USB which makes sense as you can not change the save location with the consoles. Heck, it's not easy to change the save location with the PC version, you have to hack Windows for that.

make sure your USB stick is FAT32 and let the PS3 save the game on it...and not use any computer to manipulate that.

The console will save exactly at the right location of your USB drive so you have not to worry about it. Then load the save from the stick. Its easy.

The only problem is if the console not recognize your stick, or the game has copy protected the save.