It could be a problem in the way the bootable USB drive has been created. Judging from the images that you have provided, your PC is booting only in secure (UEFI) mode and maybe the problems could be:
- The drive has been created in "classic" bios mode (very strange since Ubuntu supports UEFI).
- The USB drive has not been created correctly
- I'm not really an expert in HP laptops but maybe there is an option to disable booting from usb drives (every model is always a little bit different from others). Perhaps you could find more on the manifacturer's website or in the manual.
For first and second cases try to see if there is a way to disable secure boot (just to try if the usb drive is bootable but it is not recommended) and maybe try to recreate the USB drive in UEFI mode (there are plenty of posts on Ubuntu and Linux forums on how to do it). If it still doesn't work maybe it's the third case so try to see if booting from USB drive has been disabled.