Actually I do understand. I've worked as an IT professional for about 15 years now, and that experience has included needing to manage access to network resources from Windows systems. When Windows attempts to access a network resource, if that resource does NOT allow totally anonymous access (which is rare these days and highly inadvisable), then Windows defaults to trying to authenticate using the user account that you're using for Windows itself or an account you have in Credential Manager. If that fails, then you see a prompt to enter the correct password for that account. That's why you're seeing only a prompt for a password, not a user name. And even though it says "Windows Security", that prompt is asking you to provide credentials so that Windows can access the NAS, not credentials to access something within Windows itself. Windows is only asking for your Windows account password because Windows is just ASSUMING that the user account is a valid account to use for accessing the NAS, but in this case that is not a valid assumption -- which is why you have to click the option to provide completely different credentials, not just the password to your Windows account.
You say your NAS doesn't require a password. Again, it is fairly unlikely that your NAS allows anonymous access with no credentials at all, and that would be unwise anyway. Allowing anonymous WRITE access would be especially unwise, as it makes it that much easier for malware that might get into your network to access your NAS and potentially destroy your data. So even if your NAS supported being set up that way, you shouldn't do that. But the fact that you are currently seeing a prompt to provide credentials when attempting to connect to it indicates that it DOES require credentials.
I would suggest logging onto your NAS and checking the user accounts configured on it. Or just create a new user account on the NAS and give it the appropriate permissions on your NAS share(s). Then when you see that prompt, as Nick said above, choose to supply another account and provide the username and password you set up on the NAS so that Windows uses THOSE credentials to attempt to connect to it, rather than your Windows user account that isn't going to work here.