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If your source database is not in on premise, you can simply add second source in your data flow and use the result in look up transformation in data flow directly.
Please refer to this video : https://youtu.be/9U-0VPU2ZPU
One difference in the video is, in source, you will have to write query under source options instead of directly pointing to table.
If your source is in on Prem we will have to use private end points/vpn as shown in the video, https://learn.microsoft.com/en-us/azure/data-factory/tutorial-managed-virtual-network-on-premise-sql-server
Please let us know if you have questions.