Letting Mendix serve as SFTP server is quite unconventional and something I wouldn't recommend.
You can develop something in Java, though:
https://stackoverflow.com/questions/3076443/java-sftp-server-library
Not sure if the Mendix Cloud allows traffic on this port.
Good luck!
Hi Gerben,
if you want, You can take a look at these modules.
https://marketplace.mendix.com/link/component/106858
https://marketplace.mendix.com/link/component/237036