you will need some kind of tunnel that opens the db server to external access.
Perhaps a vpn is an option?
If not: won't be possible.
An alternative way would be to have some local LAN tool extract the data and then move it to S3/... and afterwards let Databricks pick up those files.
If I'm not mistaken, Databricks is integrating ETL functionality in their platform (I think it is in private preview), so it might be possible in the future (although you would still need some kind of opening to the public facing internet using a gateway/vpn whatever).