I have tinkered with sending data from Photon to MS SQL from time to time. I never send from the Photon directly to the SQL server because there’s not really enough memory to handle the full SQL connection (not to mention you should be using TLS for the connection as well). So, my solution is to send data via http into a webserver with a custom API. You can easily write an API using some readily available tutorials and tools. I use C# and .Net for development and I have many MS servers available to me so I found this guide helpful:
Please note, I have full access to the network so I can segregate the data onto a VLAN or other security method. You should use webhooks if your data will be traversing the internet at large. I also have considered using a webhook to Azure, then using an Azure function to write back into my internal database (via VPN to Azure). Your capabilities and available resources will drive this adventure. But, no SQL library on Particle that I know of.
Here’s another example.