Moved to correct section...

Answer: No. And Yes!
Explanation: No, you cannot connect directly to a database.
Yes, you can access data from the database. But you need  a server side script that would do the connection and expose the data via a Web service, accessible eg. with loadStrings().

When you say NO, is it NEVER or may be in few months ?
When you say YES, I am  not strong enough to understand. A example somewhere ?

Thank you phi.lho.

Probably never...

An example of the yes: when a Processing sketch (no PJS) access some Twitter messages via a simple URL, this means a Twitter server made a database access, processed the results, and send them back to the client, in a formated way (raw test, CSV, Json, XML, etc.). This can be done by your own script (eg. in PHP) running on your own server, accessing your database.

Mmm, I think all depends on what kind of database you are thinking on... Does it have any public API? A graphical HTML interface you could use to retrieve the information? Is it a pure MySQL database? 

I knew phi.lho was a "killer".
And you Ale are a "killer" too.
Thank you for your advices. The Poamx's guide seems to be promising. I must take time to digest it.
Bon week-end.