The Ubuntu installer will install Grub to the MBR of some hard disk. The default is sda. when the machine is switched on Grub will look for its configuration files in /boot/grub/grub.cfg on a partition on sda. But in your case /boot/grub/grub.cfg is on the Flash drive. So, Grub looks for sdb but you have unplugged the flash drive. That is why Grub is saying "no such device" and begging to be rescued.
So, boot into Xubuntu, eject the Flash drive, open a terminal and run
That should re-install Grub into the MBR of sda but looking to /boot/grub/grub.cfg on sda.
sudo grub-install /dev/sda
What you next need to do is use the BIOS to boot into the flash drive and then run
Other wise you may not be able to boot into the flash drive.
sudo grub-install /dev/sdb