@Villagebully currently Gateway can only be used from NWC and right now it only supports connecting to RPA. However, I believe that the longer term vision is that it will be able to connect to other on-prem content such as SQL and SharePoint on-prem. 

If you do need to connect to SQL on-prem currently this can be done with the Execute SQL action in NWC, although you do need the on-prem database server to be connected to the internet so a connection can be established via the Nintex Connection Manager.

https://help.nintex.com/en-US/nwc/Content/Designer/Connectors.htm#MicrosoftSQLServer