Can a malicious USB run if Macbook is locked?

Hi there! Not sure if this is the right sub to ask this, if not please let me know! I have my Macbook Air M3 configured with a very strong password and my “Allow accesories to connect” is configured to “Ask Every Time”. I was wondering, if I keep my laptop with the screen locked, is it possible someone (like an “evil maid”) could connect a USB or external drive containing malicious software and then run it without the password to unlock the Mac? If so, how likely is this?