This is what happens for me when trying to select save backup to USB-OTG (Yes, I know there's no usb-otg in the phone but it's just the same outcome). It works fine without this theme in normal TWRP 2.6.1.0.
I can mount the USB-OTG and see it's content in File Manager in TWRP but can't backup to it. Most of the time the box doesn't check, sometimes it does but unchecks itself immediately. The other boxes check fine first time..
Thanks..
Funny gif.
I tested a little and here is what I found: I use sticks for backups of my Nexus 7. My backup stick is formatted in fat. If I try with a ntfs stick, I can reproduce the behaviour where the checkbox is checked shortly and it immediately jumps back to internal storage.
TWRP behaves the same on stock theme for me.
So I would ask you to try with a fat formatted stick. If that's already the case, I'm somewhat at loss, as I don't have a one to test...