fatpartition detected error when using whonix on VBox portable

I am try to run Whonix on a 32gb USB drive. I am using VirtualBox Portable. When I start Whonix I get an error message like the one in this image:

I’m not sure how to fix this error can someone help?

You should do what the warning tells you.
Make a backup of the Virtual Machines. Then format the USB drive with NTFS. Put the VMs back on the drive and boot them. As an addon encrypt the drive with veracrypt, maybe Windows too if you did not already. Be also aware, that your stick is only 32 GB in size and each of the VMs can grow as big as 100 GB. This of course will take a while and depend on your usage.