Phala Cloud supports running a database locally or connecting to an external database. There is no difference in how you access a database compared to a general server. To save your data to disk, you need to configure volumes in the Docker Compose file and write data to the correct path, here is an example from Docker website. 
services:
  backend:
    image: example/database
    volumes:
      - db-data:/etc/data

  backup:
    image: backup-service
    volumes:
      - db-data:/var/lib/backup/data

volumes:
  db-data: