Hi Martin,
Connecting directly to the database that is running in the cloud is not possible.
Possible solution could be to create 1 or more REST API’s to retrieve data from the application running in the cloud and store it in the local running application, and after manipulating the data, send an update to the application running in the cloud.
Martin, Though not advisable, but yes, from the App Settings-> Configurations you should be able to connect to any database. Did you try and face any connectivity/permissions issue?