there are several ways to do this.
you could use python (or scala or ...) to do the call. then transform it and write it to the dwh.
Or you could do the call, write the raw data and process it later on.
Or you could use an ETL/ELT tool that can do the rest call (so you do not have to program it using python or whatever) and transform the data with databricks or some other tool.
Basically there is no best way, it depends on your needs and the functionality of the API itself and the tools you can use.
But it is definitely possible.