What is it?
Alteryx is a platform that contains multiple tools, including a very visual ETL tool that can extract data from multiple sources, transform them and load them into an Alteryx database.
Alteryx Databases has the filetype xydb.
How to connect through Data Discovery?
Connecting from Data Discovery to an Alteryx database is very simple - it's just a matter of locating the file (database) and hitting OK.
Here you can create a custom connection string and write your own select statement (if you don't want all the column from the Alteryx Database.