The issue you are having is the same one that people have been complaining about for over a week. There is nothing you can do; aside from setting up a VPN or enabling direct access to the system dashboard. The phone app for remote and their site are both completely broken right now.
All of Western Digital’s side of the remote access options are broken. Basically your NAS will say that it is connected, but it will not work when you try to access it through the mobile app or in a web browser using files.mycloud.com. It will result in a message saying your device is offline, even though you can clearly see that it is online and connected.
You are lucky if this just started for you. Others, including myself, have not had remote access to their device since March 9th, 2020. Western Digital has stated they are aware of the issues. They said they do not know what the cause is or how long it will be until it is fixed. They have been very shady about what is going on.
Also, they have not updated the status page https://status.mycloud.com/os3 even though they have admitted their service has been messed up since March 9th, 2020. See here: MyCloud.com Disruption
