I may be misunderstanding you, but in that case (volume not mapped) I still think this may not really be a ThumbsPlus problem -- if the NAS appears in the Network branch, it should also show in Explorer and any other program that lets you access network volumes. To disconnect it, you'd have to log out the user from the NAS in Windows (and wait a while for handles and caches to clear).
Or, something else may be going on: Even when the NAS is disconnected, you may still be seeing it in ThumbsPlus because you made thumbnails for some of the files on it, and those thumbnails are still in the database and you can browse them. In that case there would probably be a little red block in its network volume icon in the tree to signify that it is off-line. If that is the problem and you want to delete those thumbnails from the database, you could right-click on the folder name(s) and select 'Remove From Tree' from the context menu.
p.s.: I'm not currently running TP on a networked machine, so I can't reproduce the problem, nor verify if my suggestions would work. If I misunderstood the issue, please explain how you did connect to the network share, and where/how it appears in TP's tree panel (screenshot?).
