Sorry for the late reply.
You can create as many style files as you wish, but I think there might be a limit to how many you can store in a directory on a USB flash drive and still have the keyboard be able to see all of the files in that directory. If there is, I'm not sure how many it might be, but I think I've seen references in some Yamaha manuals to no more than 250 song files in a given folder.
However, you can't play style files directly off of the USB flash drive the way you can with song files. Instead, you must "load" a style file from the USB flash drive into the keyboard's system memory, which is called "registering" the style file. From what you asked about User Styles 31 through 35, it sounds like you can load up to 5 style files into the keyboard's system memory.
If you want to use additional style files, you'll need to load them as needed. For example, you could load 5 style files into numbers 31 through 35, then later load 5 different style files into numbers 31 through 35, and so on.