We gave up on trying to connect to external data sources. Instead we purchased Data Integration & File Sync for SharePoint and Office 365 | Layer2 Cloud Connector (layer2solutions.com). We then use Layer2 to sync the data from our databases to a SharePoint list, which we can then access with Nintex forms and workflows. The largest sync we have done so far is just over 25,000 records and Nintex seems to be able to handle this in a form lookup. The initial sync of the list with 25,000 items took about eight minutes. But the incremental syncs where it only updates records that have changes happen in seconds. It can sync in both directions and is pretty easy to use.