I have my media on hard drives strapped to the thin client externally but you should also be able to use an external nas. But I've never done that, so I can't comment on how well that works. I've never seen anyone complain about such a setup though.
Btw: what nas are you using? Some NASs allow the direct installation of docker containers (Synology for example). So you could possibly run Jellyfin directly off your existing hardware