Yes but I dont believe we have any modules/connectors as of today so the best way would be using REST APIs.
Check out the workday API documentation https://community.workday.com/sites/default/files/file-hosting/restapi/index.html#absenceManagement_v1_balances_tag--balances
Workday has an extensive API. Using the built in integration capabilities in Mendix, you will be able to integrate to Workday. Mendix Integration documentation can be found here: https://docs.mendix.com/refguide/integration/
Hope that helps.