If you haven’t done so already download and read the My Cloud User Manual (https://support.wdc.com/product.aspx?ID=904) which explains how to use the various options/features of the My Cloud. The user manual explains which media formats the My Cloud media server supports and how to turn on media serving for a Share (where you store the media files on the My Cloud) so DLNA clients can access the content.
If you don’t know how to access the My Cloud Dashboard to check/configure media serving on Shares see the following knowledgebase article.
https://support.wdc.com/knowledgebase/answer.aspx?ID=13965
And lastly see the unofficial media server FAQ which may have additional information that may help with your issue.
https://community.wd.com/t/faq-twonky-dlna-media-server-setup-use/95373
