Currently, using official WD supported methods, it is not possible to create a remote “mapped” drive connection (like one would see in Windows File Explorer). WD removed that “feature” when they upgraded the My Cloud firmware to the OS 3 firmware and revamped and renamed the WD2Go.com site to MyCloud.com. Feel free to voice your opinion on the removal of this feature at this link.
Currently the only WD supported ways of remote access of one’s My Cloud is through the use of the MyCloud.com portal, WD My Cloud Desktop software, WD Sync, and the two WD mobile apps available on iOS and Android.
There are various unofficial ways, to remote access a My Cloud but those methods may involve SSH, VPN or other methods not officially supported by WD. And they typically involve port forwarding through one’s broadband router/gateway to one’s My Cloud device.