Connect a database with a vps, hosted in different hosting

I don’t know if I’m asking for help in the right section, but a friend was able to connect 2 web pages from different hosting with Cloudflare what I mean, what I’m saying is that I want to connect a database to a vps so that it can connect to the database of data without any problem and a friend was able to do it thanks to Cloudflare but I don’t know how, is there any guide for it?

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