To be clear … are you trying to make a backup of your USB drive to the My Cloud or a My Cloud backup (called Safepoint") to the USB drive?
If you are backing up a USB HDD:
The USB HDD does not have to be attached to the My Cloud. It can be attached to any device in your network. The type of backup you want depends on what you are trying to accomplish. Meaning do you want a backup using 3rd party software (this usually makes an archived backup … not really a usable copy but a “snap shot in time”) If you want a mirror/sync the USB HDD to the My Cloud that is a different story altogether.
Safepoints are explained in the User Manual. (Backup of the My Cloud to another device)
If copying a large amount of data from an external USB hard drive to the My Cloud is it recommended that you connect that external USB hard drive to your computer, connect your computer via Ethernet cable to the same router/gateway/switch that the My Cloud is connected to. Then use either Windows File Explorer or Macintosh Finder to copy the files from the external USB hard drive to a Share on the My Cloud.
While you can connect the external USB hard drive direct to the My Cloud and use Windows File Explorer or Macintosh Finder to copy files from the external USB hard drive it is not generally recommended to use this method as it is very slow to copy. Reason for this is because the data flows from the external USB hard drive through the My Cloud out to the computer then back to the My Cloud.
Another method if connecting the external USB hard drive to the My Cloud is to either issue the copy command via SSH, or use the My Cloud Desktop program, the WD mobile apps for Android/iOS, or the MyCloud.com web portal.
If you have not already done so it is strongly recommended one read the My Cloud User Manual which contains more information on how to use the My Cloud and its features/options. Appendix C of the User Manual has the following entry:
I need to migrate a large amount of data (50 GB or more) from a USB external drive to my My Cloud device.
Connect the USB drive to your computer for optimal performance.
Connect your computer and the My Cloud device directly to your router with a wired Ethernet connection.
Copy your data from your external USB drive (or your computer) to your My Cloud device.