You can create a new wpdb object and connect to an external MySQL database, though there will be a performance cost to making a remote connection, don’t expect it to be fast.
But, you mentioned it’s an MS SQL database, not MySQL. There won’t be a WordPress based mechanism to do this, you’ll have to look for generic PHP solutions
You would need to use the Microsoft PHP SQL Drivers to connect to the database, (https://blogs.msdn.microsoft.com/sqlphp/) but keep in mind you will have to write all the code, all the UI, everything, from scratch. There is nothing in WordPress that will be of help. This is assuming your MSSQL database can be accessed remotely, most database servers are not configured this way for security reasons.
Any questions about using MSSQL in PHP would need to go on StackOverflow as they wouldn’t be WordPress questions, and finding anybody who uses WordPress and MSSQL would be extremely difficult/rare.
It would be much easier to make requests to a remote API that talked to the MSSQL database, but you would have to build and maintain that API yourself.