Well you can program your Android device to send data over the USB connection so I suppose you have to options:
1) the proper way - use a Microcontroller to receive the data over USB and then illuminate the LED
2) a hack which MAY work - connect the LED directly to the USB with a transistor to turn it on/off, e.g. LED/ transistor across the power/gnd with the transistor base connected to a data line. You would need to add a current limiting resistors etc. Then you would need your program to send lots of handshakes and ignore any errors...