The difference in speed is normally caused by buffering from your OS, i.e. your OS reads all the files, as fast as it can, from disk into memory. From memory it will then proceed to write them to the thumb drive. As your harddisk is normally faster then your thumbdrive your OS will buffer the files it has not yet written internally. For your file browser it will look like the files have already been copied, but in reality they haven't yet left your computer, they are still in the buffer waiting. When the internal buffer is full or you unmount the drive, the OS will write all the buffered data to the drive, thus the last files written or the unmount process can take quite a while longer then the initial files.
One can change that behavior by specifying the
sync flag when mounting the drive, this will stop the OS from not using any internal caching for the drive, but that will lead to more equally distributed copying speed, but it will also lead to overall slower speed, thus I wouldn't recommend it.