Yes, and both ways.

You must connect to the remote desktop to be able to then connect a local disk or a remote disk. By connecting a local disk, you will be exporting its contents to the remote desktop. By connecting a remote disk, you will be importing files to the local desktop, i.e., the client you are connecting from, effectively allowing you to access file system resources as if they were on your local computer. This is done via the session's menu panel (activated by pressing Ctrl-Alt-0) and selecting 'Connect a disk'. NoMachine will show you the disks available for connecting by distinguishing between 'Local disks' and 'Remote disks' ready to be used in the session.

Consult section 4 in 'Guide to the Functionality in the Menu Panel for Linux/Windows/Mac' in the Documents section of the Knowledge Base, or go to the Configuration section of https://www.nomachine.com/all-documents web page.