It’s not supported. In Asana, links to local or network paths (like file:// or smb://) are generally blocked or not reliably clickable in descriptions and comments for security reasons.
If you must keep it on your network, you can add the UNC path as plain text in the description or a custom field so people can copy and paste it into File Explorer or Finder. You can also attach a small shortcut file that points to the network path (.url on Windows or .webloc on Mac) so users can download and open it locally. Another option is hosting an internal web page that links to the directory on your intranet and sharing that URL instead.