Setting up a VPN in Sharepoint 2013 Online

Hello,

I am currently setting up an SharePoint Online Environment. This environment will connect to a server with a SQL Database. To connect to this SQL database i need to open port 1433(standard SQL port) My questions is;

To prevent connections from unknown sources i want that SharePoint Online connects using a VPN, is this possible?

If not, is there any alternative? Maybe securing the .odc/connectionsting itself?