Connect WD direct to my Mac without accessing internet

I refuse to backup my files online, for security issues, but I would like to continuing to save and backup files from my computer.
Is it possible if USB 3.0 A to A Cable Type A Male to Male Cable Cord for Data Transfer?

No. The My Cloud device is a network attached storage device (NAS). It is not a “USB hard drive”. If your computer has a Ethernet networking port (RJ-45) then you can connect the My Cloud to your comptuer using an Ethernet cable. From there you should have access to the My Cloud Dashboard (using a web browser) and to the data files using Mac Finder.

Or if one has access to a WiFi router, connect the My Cloud to the router and connect the computer to the router using WiFi or Ethernet connection.

If your computer does not have a Ethernet networking port and one doesn’t want to use a WiFi router, then one can buy a USB to Ethernet adapter to make the Ethernet connection to the My Cloud.

thank you
and frustrated ;(

No guarantee this would work, but you could try using netcat (nc).
You still need access to your MyCloud preferable through the ethernet, but the transfer itself could be done over USB - USB cable. Check the nc - h (MyCloud) and man nc (computer) to get the correct nc syntax.

WARNING: Depending on your setup, this could make your system unbootable

root@destination-box.local # nc -l 8675 | dd of=/dev/USBXXX
root@source-box.local # dd if=/dev/USBYYY | nc destination-box.local 8675