However this temporary local file does not have the .xlsx extension and the FileFormat function which tries to determine the type of file then thinks it is a ZIP file (which it might actually be, I am not sure).

It looks like XLSX files are indeed just zip files:

In[21]:= CopyFile[FindFile["ExampleData/cities.xlsx"], "test.zip"]

Out[21]= "H:\\Documents\\test.zip"

In[22]:= ExtractArchive["test.zip", "unzipped"]

Out[22]= {
    "unzipped\\[Content_Types].xml",
    "unzipped\\docProps\\app.xml",
    "unzipped\\docProps\\core.xml",
    "unzipped\\_rels\\.rels",
    "unzipped\\xl\\drawings\\drawing1.xml",
    "unzipped\\xl\\drawings\\_rels\\drawing1.xml.rels",
    "unzipped\\xl\\media\\image1.png",
    "unzipped\\xl\\_rels\\workbook.xml.rels",
    "unzipped\\xl\\sharedStrings.xml",
    "unzipped\\xl\\styles.xml",
    "unzipped\\xl\\workbook.xml",
    "unzipped\\xl\\worksheets\\_rels\\sheet2.xml.rels",
    "unzipped\\xl\\worksheets\\sheet1.xml",
    "unzipped\\xl\\worksheets\\sheet2.xml"
}

Thanks, that got me halfway there, somehow Import with CloudObject didn't automatically recognize .xlsx files:

Import["Imports/data.xlsx", {"Data", 1}]

Import::noelem: The Import element "Data" is not present when importing as ZIP.

Import[CloudObject["Imports/data.xlsx"]]

{"[ContentTypes].xml", "rels\.rels", \ "xl\_rels\workbook.xml.rels", "xl\workbook.xml", \ "xl\sharedStrings.xml", "xl\theme\theme1.xml", "xl\styles.xml", \ "xl\worksheets\sheet1.xml", "docProps\core.xml", \ "docProps\app.xml"}

With this modification I got it work:

Import[CloudObject["Imports/data.xlsx"], {"xlsx", "Data", 1} ]

Thanks for your help :)