@GutsNaem
Ok I found the solution I post it here if anyone needs it in the future :
It's all my bad the Names where not in lowercase, and even if the uppercase does work without external datastorage it doesn't when using an USB Storage.
Posts made by GutsNaem
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    RE: Issue with Bios while using external Data storage for PSXposted in Recalbox General
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    Issue with Bios while using external Data storage for PSXposted in Recalbox GeneralHello everyone and sorry to bother you. 
 Before taling about the problem I precise that I followed the guide to use external datastorage for Roms and that I put BIOS files both in the recalbox bios folder and in the external datastorage bios folder.
 When I use only the SD card with Recalbox, the PSX works perfectly fine and the games too. No issue at this point.
 When I connect to the external Data storage, the system tells me the bios are missing but when I check, the Bios are present in both : \RECALBOX\share\bios & \ASGARD-RETRO\share\bios (ASGARD-RETRO is the name of my External DataStorage)I wanted to know if someone had a solution or knows of the issue please? 
 Thanks everyone,
 Guts
 PS : I didn't find another post with this issue but if someone already asked please excuse me for asking again EDIT : The solution has been found : Ok I found the solution I post it here if anyone needs it in the future : It's all my bad the Names where not in lowercase, and even if the uppercase does work without external datastorage it doesn't when using an USB Storage.