The problem isn't the bank verifying that the USB stick is clean; the problem is that the bank is distributing info in the exact same way that APTs would try to compromise an important target.

Hyperbole, but it's like a bank employee calling you from an unknown number and asking for your email password so they can make sure their communications about your mortgage application don't go to the spam folder.

>It is of course in the responsibility of the bank to check if this is virus free

Oh, trust me, it'll absolutely come from the bank where they're doing all the due diligence necessary, and not from a random malicious party!

It'll say FROM THE BANK on the envelope, so you'll know it's legit.

>I am using Linux anyway.. No autorun.exe here.

Oh, you'll have to do a bit more work then. Just follow the instructions included in the envelope, and run

    sudo ./notvirus.sh

from the terminal from the root directory of the USB drive once you mount it.