These two formats are different, mkv container (loaded from usb) and dlna (via stream). By right dlna standards doesn’t support mkv. Check your bluray manual (which model?) if it supports mkv via dlna stream.
Try renaming those mkv to avi and see if you can trick your bluray to load them via dlna.
Else you’ll need to convert those mkv to other supported dlna formats by your bluray.
Or install a transcoder app like serviio in a pc to read from mycloud and stream to your bluray.
I not sure and haven’t tried though, if you were to try install a transcoder app in mycloud itself due to myclouds limited processing power. Might not worth a try if it can’t transcode fast enough to feed to the bluray. This would also risk voiding your warranty…
