My question is if is it possible to have a private connection from QuickSight to an on-premise Database thorugh VPN for example? I know in the documentation says that the connection is through Internet but nobody wants to expose the Database port to Internet no matter how small the CIDR of QuickSight is.
Yes QuickSight can connect to on-premise database through private VPC connections . Ensure either AWS VPN or AWS Direct Connect connection between AWS VPC and on-premises network.
Please follow below blog & documentation for the detailed steps to create Manage VPC connections within QuickSight .