What program, software or DLNA client are you using to play the MKV file?
The My Cloud doesn’t “play” the media file rather it simply passes the media file to the computer or mobile device and that computer or mobile device will attempt to use its default media player to play the media file. In the case of DLNA clients the Twonky Media Server which is embedded into the My Cloud will stream the media file to the DLNA client to play if that media format is supported by both the Twonky Media Server and the DLNA client. MKV is supported by the Twonky Media Server.
If the MKV file plays at first then stops, check your local network for network connection. If DLNA client is connected by WiFi, try connecting it via Ethernet. And ensure the MKV file is playable by playing the file on your computer.
See the following link for more information on best practices if using the Twonky Media Server on the My Cloud.
https://community.wd.com/t/faq-twonky-dlna-media-server-setup-use/95373
