yes and no.
if the app has to pass store certification, no there is no way you can setup a direct connection to a sql server. You can build webservices, host them on a server (or cloud) and access your database through your webservices.
if you are building a LOB application you can look at Brokered components. see:
http://blogs.msdn.com/b/dmx/archive/2014/04/25/how-to-trigger-a-desktop-process-from-sideloaded-windows-store-apps-with-brokered-components.aspx
but i wouldnt recommend this way. think its nicer to use webservices
Microsoft Certified Solutions Developer - Windows Store Apps Using C#