If this is a standard SATA III device, then no, there is no driver available or even necessary (in BIOS or in Windows install - unless you have configured for RAID). If the device is not appearing in BIOS Setup (Visual BIOS) information display, you need to figure out why (and there is no point attempting a Windows install until you do). Insofar as UEFI is concerned, only drives that are already GPT formatted and already have UEFI boot files on them are going to show up in the list of UEFI bootable devices, so this isn't the place to be checking (but look and see if the drive appears in the Legacy tab, it might there). If you click on Advanced, then Devices and then the SATA tab, unless you have configured for RAID, information about the SATA devices recognized should be displayed there.
If the device does not show up, there are three possibilities, (1) a problem with the device itself (verify it works with another computer), (2) a problem with the cables (power and SATA) that connect them (verify these cables are properly plugged into the board and the drive) or (3) a true problem with the NUC5i5RYK board. If you have verified (to the extent you can) the other two possibilities, you can Contact Support directly to discuss a RMA replacement. There are regional centers/offices all over the world that you can call to discuss this with (in your native language), as well as chat, email and form services (but I recommend you phone them)...
Hope this helps,