Hi Praveen,
afaik there is no other way then iterating over your list of string and creating new Mendix Objects.
I assume, that you will need a helper entity, with a string attribute. You can then instantiate that object via the respective Mendix Proxy class. After that, add them to a list (eg. ArrayList) and return that list.
One Question: Why do you have to process the API via JAVA? Is it a REST/SOAP API? Why can’t you use an Import Mapping?