However, do note that when you insert the USB stick into another USB slot (or when you have hooked up multiple USB devices), the path to the USB stick might change (so instead of dev_usb000, it might be dev_usb001).
I guess one application I can see for this, is the following:
Create a 'Savegame' - XMB-style - and dump all savestates and SRAM files there.
This 'savegame' you could then easily transfer to a USB stick, carry to a friend, then 'open'. What would happen then is that both the savestate directory and the SRAM directory get 'redirected' to that folder where the savegame is at. So - it would not mess around with the savestates or SRAM files that your friend's copy of SNES9x has - instead, it would simply redirect all savestate/SRAM paths to your gamesave.
I think something like that is probably what you had in mind.
At the moment, you can set cheatfile directory, savestate directory and default ROM directory. This is stored in USRDIR/snes9x.conf (that is the configuration file). So yeah, you can set up your savestate path to point to a USB folder - that is possible. You can configure this from the Settings menu, or you can edit snes9x.conf by hand.