There is more than one TWRP for the OP5 available. One which doesn't interface with OTG storage. Here is the
TWRP that does. Second and this is a guess, by chance is your internal storage encrypted? All OP5's internal storage is encrypted by default so your's is encrypted unless you manually decrypt it.
So I'm wondering if you script entering your pin/swipe/password when TWRP first boots and that's why TWRP can't create the backup file. Enter "default_password" if you never setup security for your lock screen.