The default behaviour for most desktop systems is in fact to assume that the USB network device leads to the Internet, and further, if there is no better route to the Internet in use already that you plugged it in because you want to use it and so it should be configured and made ready to use.
(Obviously policy might prohibit non-superusers from having this functionality on a company machine for example)
But you are correct that a built-in Ethernet device will be preferred most often if it's available. However we live in the Future™ and even when some other device is the preferred route to the Internet, link-local services should work over alternative devices. So, at least in theory, mDNS advertising a shared drive over a USB device would make it show up and be accessible.
Of course since nobody does this today it probably wouldn't actually work right out of the box if you tried it. But all the components exist, getting it to work is just a matter of polish.