Can I create a external content type based on an SQL query? Can I make an external list based on that content type.
Can I make a list with a lookup column to that new list, and make that field as multiple select?
EXTERNAL CONTENT TYPE WITH SQL QUERY:
You will need to make a SQL View and for your Read operation, you will use your View instead of the table.. You can easily make External List with this Content Type
LOOKUP COLUMN TO NEW LIST:
Lookups to External Lists don't allow for multiple values or extended columns unfortunately. Check Limitations with External List