Hi!
You need to call this consumed API in a microflow. If done correctly (https://docs.mendix.com/howto/integration/consume-a-rest-service/), you will get your response in either a string, which you can manually import with your import mapping, or the Root entity in your import mapping if you decide to import directly in the REST call action. Using logic in the rest of your microflow, you can then convert these non-persistent entities to any persistent entities you want.
Another option to consider is the fact that you can map directly to persistent entities in Mendix, either by finding existing objects through keys or logic, or creating new ones.
Hope this helps!
You can refer to this learning path. I hope it helps.
https://academy.mendix.com/link/paths/44/Importing-and-Exporting-Your-Data