Officially there is no solution. The single bay My Cloud units do not officially support being directly connected to via VPN (like Windows 10 VPN) service/software. Officially the only way to access the My Cloud remotely is to use the WD mobile apps, the WD My Cloud Desktop software, the MyCloud.com web portal, or via FTP (which is insecure).
Unofficially one can setup a VPN tunnel to their local network router if it supports being a VPN server, or network computer setup as a VPN server, or to a VPN server (like OpenVPN) on the local network and then access the My Cloud that is on that local network.
Another unofficial method of remote access is to use the CloudDAVMod.
http://community.wd.com/t/app-clouddavmod-v1-0-for-firmware-v4-05-2016/161543
There might be an unofficial way to turn the My Cloud into a VPN server but it would involve using SSH to modify or replace the existing My Cloud firmware. There is very brief mention of VPN in this thread:
http://community.wd.com/t/using-my-wd-my-cloud-as-a-vpn-possible/94915
