File systems are (or are not...) case-sensitive.
Flash-drives are customarily initialized with FAT32, which is a case-insensitive file system. Linux, of course, understands this perfectly, and behaves appropriately.
(Incidentally: Windows is no slouch on this department, either. It, too, has "installable file system" (IFS) support, although FAT and NTFS are the only drivers that are installed by default.)