Update connecting to SQL vignette to account for / show connecting to databricks

## Is your feature request related to a problem? Please describe.
We're moving our data storage into a delta lake with databricks and should add guidance that reflects connecting to there once it's more commonly used

## Describe the solution you'd like
Update to the vignette to show / link to how to connect to databricks

## Describe alternatives you've considered
None

## Additional context
None