Hi Raj,
When running localy you indeed have the option to use a database of your chosing. When running in the cloud the database is from the Mx cloud. If you want to have data of an external database in the Mendix cloud you would have to migrate this data to the cloud. There are a lot of options to do this:
- Rest api calls
- Database connector https://appstore.home.mendix.com/link/app/2888/
- Database replication module https://appstore.home.mendix.com/link/app/160/