My knowledge of Outlook PST files is only from using Outlook 2007 on Windows XP machines at work. I’d expect later versions of Windows to behave similarly. I have heard a rumour at work that more recent versions of Outlook dispense with PST files; no idea if this is true, but I’m sure Google will reveal the truth…
For my personal email folders at work, I smply move them to a local disk on the PC, rather than the corporate networked mail server. Having done this, I simply use the Outlook menu to open the PST folder, and point to the location of the PST folder. Thereafter, Outlook reconnects and the personal mail folders work just like any other mail folder.
So my suggestion would be to ensure that you have the MyCloud mapped as a named drive into Windows file system (see p23 of the User Manual). Then copy your PST file to a location on the MyCloud, and open the PST file in Outlook.
Since a mapped MyCloud is a network drive, it should be transparent to Windows OS, and behave just like any other drive, be it internal to the PC, USB or networked.