WD saw fit to remove the remote mapping featue when they release the OS 3 firmware over a year ago. They have NO plans to bring it back:
https://community.wd.com/t/re-enable-remote-drive-mapping-through-mycloud-com/134944/
Officially no you cannot remotely access the My Cloud using the Finder. Unofficially it may be possible depending on what generation (1st or 2nd) your My Cloud is. Currently there is an unofficial hack using SSH and installing a module a user here created that will enable remote mapping of the My Cloud. However this hack currently only works on the 1st gen v4.x version single bay My Cloud units. And this hack IS NOT supported in any way by WD. See the following thread for more information:
