LUNs don't have anything to do with USB. For MSDs, USB simply provides the physical transport, but the protocol used to communicate with and control the device itself is almost always SCSI. The SCSI "layer" is where LUNs come into play.
Probably the easiest example of this to understand are the USB multimedia card readers, which usually have four slots in them to plug in different kinds of media (SD, MMC, CF, etc.). These usually have just one USB interface with two USB end points (though some may also add a third interrupt end point), but have four LUNs at the SCSI level (each physical slot is a separate LUN).
Another example are flash drives with U3 software installed. These have two LUNs: a CDROM LUN where the U3 software is installed (set up as a CDROM so the U3 software can AutoRun in Windows), and a second LUN (DASD, not CDROM) for actual data storage.