I'm not sure I understand your use case. If you would like to retrieve Refinitiv data and store it in a your own SQL database, then technically pretty much any Refinitiv API could be used in this scenario. For instance you could use Refinitiv Data Platform Library for Python to retrieve the data and then use sqlite3 library to write it into your SQLite database. What you should be mindful of is whether the Refinitiv product you subscribe to permits such data utilization. E.g. with Eikon subscription, any data retrieved from Eikon is licensed for individual user's use only. Storing the data retrieved from Eikon in a database that is accessed by multiple users or by any kind of enterprise application would be inconsistent with the data license granted with Eikon. In this case you should consider subscribing to one of Refinitiv enterprise products that permit the data utilization in the manner you intend to implement.
However, if you're asking whether you can retrieve Refinitiv data using SQL, there are some products that offer such capability, e.g. Refinitiv Quantitative Analytics. However, the majority of Refinitiv products do not provide direct access to databases of record for Refinitiv content assets (or to any databases for that matter). Instead data retrieval is typically provided through Web services using REST or SOAP APIs or using client side libraries like Refinitiv Data Platform Library.
Thank you @Alex Putkov. for the Answer. It is useful. A question, If I'm in my database, Is the any way to connect my database to Refinitiv and get data, for example, Select MyTable.*, GetRefinitivprice( id, date) FROM MyTable without using the python api, but connecting directly from my database?