Is it possible to get data from external sources into SharePoint online sites? I suppose rest API's is an option, but how can that be done? Any suggestions would be much appreciated.
It is not SharePoint that limits what you can import.
You need to connect to the API of your 3rd party vendor.
If they don't "let you in", you can't get the data
So start by investigating if the vendor has APIs, then follow their code examples.
To import content into SharePoint learn to use the SharePoint REST endpoints, or use the Microsoft PnP tools: https://github.com/SharePoint/PnP
In SharePoint Online we can setup BCS - Business Connectivity Service and get external data in SharePoint Online List.
What is your external data source?