Is formatting USB drive wipes out my all data from phone?

[gamer24]

Hello, I wanna connect my chinese handheld to my phone to upload games. Im trying connect a handheld (chinese no name handheld with gba games) to my smartphone redmi note 11 with otg cable to send games from smartphone to handheld, but when I connect that screen pop up:

and when I enter, that ask:

my question is, is that action gonna wipe all my data from my phone like my apps, pics, opened bookmarks in chrome?

 

[gyr0ray0]

What are you trying to connect? Dude, formatting means you're losing data on the USB device you're trying to connect. Not on your phone.

 

[gamer24]

What are you trying to connect? Dude, formatting means you're losing data on the USB device you're trying to connect. Not on your phone.

Im trying connect a handheld (chinese no name handheld with gba games) to my smartphone redmi note 11 with otg cable to send games from smartphone to handheld, please I need answer

 

[gamer24]

What are you trying to connect? Dude, formatting means you're losing data on the USB device you're trying to connect. Not on your phone.

So im gonna lost my games on handheld?