For more concrete information, you will want to contact Wolfram Technical Support at firstname.lastname@example.org.
By default, you cannot import data using CDFs. CDFs have limited abilities in part because it ensures that CDFs are always safe to run.
Getting an enterprise license would allow you to make a CDF that imported data:https://www.wolfram.com/mathematica/new-in-9/enterprisecdf-deployment/
Because the CDF is running online, you'll probably want to set up a webservice or API instead of directly accessing the database in some way. All of that though is technical detail that really doesn't have to do with CDF itself.