I don't use Photoshop or Illustrator. In general, if you use a mapped drive that references other files via that mapped drive, it should work. However, I have many clients who experience a lot of problems when their users try to use native apps to work with files while they are sitting directly in Alfresco via mapped drives (CIFS, especially, but also AOS and WebDAV). There are many reasons why this happens and you might have better luck.
Do note that CIFS has been deprecated, so if you are going to do this, try to stick with AOS.
Also, realize that if you reference other objects with mapped drives and someone downloads the file using the web client and they don't have the same mapped drives set up, the references will probably be broken.