My SanDisk USB flash drive shows that 43GB is used when I just copied a 10GB folder after formatting
You already answered your own question: There are lots of small files in it
Every file on an exFAT volume takes at least one blocksize. So a file of a single byte in size takes at least 4K - a size amplification of 1:4096. You are seing a size amplification of 4.3, which is very plausible with lots of small files.
You can check this hypothesis by packing the files with WinRAR and the zero compression settings, then copy this file to the USB stick.
When formatting as exFAT, you almost surely chose some large allocation unit (block size) like 128k or 512k. Reformat with the standard 4k allocation units and the problem should go away.
Why is this happening?
Because you're storing a lot of tiny files.
Filesystems have a minimum file size that they can store. For NTFS filesystems, it's usually 4KB. For exFAT, it can be much larger. That's called the block or cluster size. Files that are smaller than this size will still use up the minimum size, so a 1KB file might use 4KB of disk space. A 3KB file would also use 4KB of disk space. If you have a 5KB file, it'll use 8KB of disk space.
You can imagine it like a grid of holes. Each hole can hold a certain amount of data. Files are spread across as many holes as necessary to hold all the file's data, but holes can't have data from more than one file. So, if a file's data doesn't completely fill a hole, some of that space is wasted. No other file can use it that hole so the unused space is unavailable.
What can you do about it?
In your case, you have a lot of files that don't fill the holes, so there's lots of wasted space. If you were to put all the files into a ZIP file, then all that data would be contained in a single file and it would use a lot less space on the drive.
Some USB drives are formatted as exFAT by default, so alternatively, if you're just using this drive to copy files between Windows computers (or just for storage), you could try reformatting the drive as NTFS (but copy all the files off first, obviously!) to try to get a smaller cluster size.