You have not specified your use case beyond "connect", it is unclear what you want to accomplish.
You have not specified the TWX version you are on.
So this might or might not work for you, but let's suppose your use case is you want to query data from snowflake in ThingWorx.
One way of doing that is to use the REST interface of snowflake and send the SQL query over REST using ContentLoaderFunctions PostJSON service.
If the response spans multiple pages you will have to implement sending further request for the other pages.
What you have to provide for authentication depends on how snowflake is configured.
Probably also configure IP whitelisting on Snowflake.
A second way might be to package up the Snowflake JDBC driver into an extension load that into TWX and then create a DatabaseThing, but I haven't tried this with SF. In this case the interaction is documented in TWX help "Connecting to an External Database".