Swap-on-flash-memory of any sort is "bad" - and that inludes the USB key. Flash memory has a limited number of writes. How many depends on the flash chip and it built in wear-leveling, which companies use to spread writes around to prevent burning out a particular section of memory early. How bad is going to depend on your swapfile activity.
A friend of mine burnt a CF card out using it on the desktop for swap in a week or so. Worst case scenario is a couple of days. What you're likely to run into using it on the Z is a year or two, ie - not that worrisome.
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Just days sounds really bad
But if one has no choice to swap it would be a good idea to dont use the same Flash for swapping as for user-data. E.g. one could insert a cheap 64MB Flash for swapping and use another for /home etc. where it's not written to as often.
BTW - if there are more than one partition at a Flash, if one is burned, can the others still be used?
Any way to check the remaining life-time of a Flash before some important file might be damaged? (something like ide-smart)