This happened to me recently, car wasn't turned off, no music was playing, but the system was still on, pulled out my USB key then turned car off..

 

When I plugged it back into my PC, it was unreadable... all the way down to hardware level, wouldn't let me reformat or anything, stating there was a hardware malfunction.

 

Checked to make sure nothing was physically wrong with the key, it was fine, Looks like these NEX units really dig their claws into removable media. 

 

Just make sure everything is off before pulling it out.