Hi,
The ability to connect to an external data source depends on what version of SharePoint Online you are using. If you are using a BPOS subscription, it is not possible to connect to an external data source. If you are using Office 365, you will need
to have an Enterprise subscription and you will be able to set up a BCS connection through the Tenant Admin to connect to an external data source.
Thanks,
Tim Muth
Microsoft Online Services Technical Support