There is only the option of storing the MONyog /data folder in one place and no option to ‘split’/divide it into several volumes.
But you can edit the /data path in MONyog.ini to point to another volume than where MONyog is installed. To do so:
1) stop MONyog
2) edit MONyog.ini and copy the /Data folder to where you have specified.
3) start MONyog again.