Actually you don't need to reference all (i.e application + third-party) assemblies when defining your NDepend project. Just referencing the application assemblies should be enough, and NDepend has an heuristic to determine automatically third-party assemblies consumed from application ones.
Also, to make it easier to match the range of application assemblies stored in a hierarchy of folders, you can use Add .NET Assemblies in Folder + recursive child folder + Filter by name.
Once your NDepend project is populated with application assemblies, to get a dependencies matrix or graph of a subset of app assemblies, you can write a code query that matches this subset, and export matched assemblies to the graph or matrix:
Also I presume if I was analysing a single solution that NDepend would consider all nuget packages to be ThirdParty?
Yes, because third-party assemblies will be found by the heuristic mentioned.