If you have an older first gen v4.x single bay My Cloud you can install the unofficial and unsupported CloudDAVMod which provides one the ability to remote map their My Cloud.
https://community.wd.com/t/app-clouddavmod-various-versions-for-firmware-v4-09-2016/161543
Or one, again with a v4.x version My Cloud, install a clean OS as detailed int eh following thread and try installing OpenVPN to the OS.
https://community.wd.com/t/clean-os-debian-openmediavault-and-other-firmwares/93714/
Or one could setup an OpenVPN server through their router if it supports it (or spare PC).
