The DataLink user guide lists these connector types:
Microsoft SQL Server database connector
Generic JDBC database connector
FTP connector
SFTP connector
Windows Share connector
Filesystem connector
SOAP connector
REST connector
And I noticed Microsoft has posted a few guides online about using REST to communicate with installed SharePoint instances, which presumably includes published lists of content.
But in studying the REST examples provided by Microsoft, it does look as though a fair amount of coding would be needed to use the REST API to communicate directly with SharePoint to pull content from a list (and then into DataLink).