can we save sensor data in USB Flash Drive without USB Module?

Can we save sensor data in a USB Flash Drive without using an USB Module?
Is there's a way to use the USB Port of the Arduino Uno to save sensor data in a Flash Drive?

No. Uno is a USB slave. Flash drive is a USB slave. A USB master is needed.
You can find USB Host shield, usually equipped with MAX3421E chip that Uno talks to via SPI to perform the USB master function.
Example:
https://www.digikey.com/product-detail/en/sparkfun-electronics/DEV-09947/1568-1154-ND/5673740?WT.srch=1&gclid=EAIaIQobChMI6c6ei8Wq3gIVlIrICh1CLA06EAQYASABEgL7ufD_BwE