I've often wondered about that too. I'm not even sure what 'U disk' means in this context? My obvious interpretation is 'Uses a USB stick as an alternative to the micro SD card'.
But how? I assume no specialist cable exists that slips into the module's card slot at one end and holds a USB stick at the other? (Physically impossible?) And no high speed storage tucked away, like the 128 MB of the Pro version (DFRO768), that you download with Arduino connected to PC?
Someone, somewhere, probably in China, must surely have used the feature? But darned if my hour's googling can find him or her.
If I get some time I'll strip a USB cable at the Arduino end and solder on some (4?) Dupont wires to experiment. Perhaps two should go to the module's DM and DP pins and the others to +5V and 0V?