It's not possible to directly look up values from an online source. Can you share more about your use case? What kind of data are you trying to look up? Is the dataset you want to use public?
You can use attached CSV files like this thread describes (Central documentation).
You can also attach more dynamic lists of items which we call Entity Lists (Central documentation). You can create and update Entities through form submissions and also by writing your own program that uses the API.
You can find an example script that creates many entities from a CSV here. You could use this to periodically synchronize values from some external data source in Central (if values in your data source can be updated, you would also need to use the update endpoint). That list would then go out to all of your data collectors and their forms could look up values in it.