Xiaomi Redmi Note 3 does have support for USB OTG function. The MiUI interface, though is a little different from the stock Android. You may need to enable the functionality from the settings.
Please check whether the file format on your drive is supported by the phone. If you have to format it to the required one, make sure you make a proper backup of the files on the drive. Also note that you need to purchase the compatible cable to use the function.
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