If you inspect the source code of this HTML page, you can find that this website use a Web SQL database: this is not a remote database but a local one. You can find the main code inside this JavaScript file: https://www.w3schools.com/w3Database.js
FYI, Web SQL is deprecated since 2010 (you can use IndexedDB instead).
Thanks @rlesur. I think what I was hoping is that there was some equivalent of using the con argument in the knitr chunk. But this is probably not worth the time.