In typical use cases the performance cost of booting WordPress core for page load is significantly higher than querying for data. In other words it doesn’t quite matter, because it won’t be a bottleneck.
You have to estimate:
- How close your data is to native WordPress concepts
- How much work (if any) it would be required to put it in such representation
- How complex queries it would need for data retrieval
Against making custom SQL table. This cannot be done in general, only for specific case and data. The closer it is to what WP typically handles the more you will benefit from native API and caching mechanisms. But for data that is considerably different in nature separate storage might very well make more sense.