It depends on what you mean bij “connect”.

Every app requires it's own database. For this database there is a limited set of options, see https://docs.mendix.com/refguide/system-requirements#databases 

Having said that, Mendix apps can integrate with any other system through any way possible. Webservices, rest services, flat files, ODBC, Odata,… anything. It may require downloading modules from the appstore or developing your own java based interface. But anything is possible.