This is not a feature of DSS, however if you have a SSH connection to a machine hosting a database, you can make a SSH tunnel.
You'll find a lot of good reads on that topic, but if your database is running on host MYDBHOST and port MYDBPORT (but MYDBHOST:MYDBPORT is not reachable from the DSS machine), run the following from the DSS machine:
ssh MYDBHOST -L 25000:localhost:MYDBPORT
And in DSS, create a new connection to host: localhost and port: 25000 (25000 is just an example, you can replace it by any port above 1024). You have to keep the SSH connection open as long as you want to use the database in DSS.
Many thanks this confirms what I felt like being the way to go. Tunnels and network connections are rather maintained outside of DSS. Finally, it seems I will have a VPN connection to keep open and not even an ssh tunnel.