Below forum thread has been going since 2017 showing users frustration with not being able to create links in Asana to take them to folders/files on their own servers. (there have been some cumbersome work arounds suggested but none seem to work)
This product feedback topic will hopefully give us (the 22K people who viewed that post so far!) a means of requesting this very helpful feature.
https://forum.asana.com/t/linking-directly-to-a-folder-on-own-drive-server/5194/1