Cluvio is generally used with databases running on servers, whether on cloud providers (AWS, Azure, Google Cloud, ...) or within your own server infrastructure.
But you can also easily connect to database running on your PC or laptop by installing and running Cluvio agent locally, via Docker or an OS-specific application.
Note that in this case, the SQL queries from Cluvio would only run if your machine and the agent are up and running.
For more details on setting up the agents see Using Cluvio Agents.