The problem is - is it just a mass storage device? Or is it maybe also a USB keyboard that will try to enter some payload? Or maybe it even contains a radio, and can communicate with an attacker nearby?
You can't tell from the outside which protocols a USB device implements.
You can fit all of that functionality into the space of a USB-A plug - so if it is a thumbdrive you have way more space to work with than you ever need.
At minimum restrict your computer to only loading mass storage drivers - but as you quite likely habe USB input devices it is just a lot easier to investigate such a device on something like a raspberry pi.
Helsinki is getting out of the "burning stuff to make electricity" business. It used to have coal power plants - last ones closed down in 2023 and 2024. There are some dedicated plants for district heating still, but also there's the trend to move away from burning stuff.