Can you share from a desktop to a Plex server in a jail, yes. Is it easy to do not really since jails are not setup to do that. I know one person tried doing it with SMB at one point and it was a PITA. Everything will be done in the jail via .conf files and command line.
It's honestly easier to just transfer the media to FreeNAS and let it hold all of the media instead of trying to split it up. If you don't have enough space on the FreeNAS to hold all of the media then it's time to expand IMHO.