The Ozone platform doesn't change how you build your web application. So yes, having your own database connection is a normal pattern.
Think of the platform as making it easier to let you get your users to multiple web applications, as well as easier to let those applications share information without requiring server-side plumbing. But the web application should still be able to stand on its own. One of the first steps in debugging an issue seen in Ozone is to first bring up the app _outside_ Ozone and make sure that all is good there. If you'd need a database for your web application to work on its own, then build it into your web application.