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Yes, it is possible to get data into a machine learning workspace from an on-premises database using Azure Data Factory. You can follow the steps mentioned in the documentation "Copy data from a SQL Server database to Azure Blob storage by using the Copy Data tool" to move data from an on-premises database to Azure Blob storage. Once the data is in Azure, you can use Azure Machine Learning Studio to create and train machine learning models.
To use the data in Machine Learning Studio, you can create a dataset in Azure Machine Learning Studio that references the data in Azure Blob storage. You can then use this dataset as input to your machine learning models. For more information on how to create a dataset in Azure Machine Learning Studio, please refer to the following documentation:
I hope this helps!