In AppMon, for example, we have possibility to run custom SQL queries to get some business metrics from SQLSever or some database. AppMon runs them periodically and we can create dashboards based on those custom metrics.
Can we do the same thing with Dynatrace SaaS, if yes how it is done?
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This is (currently) not possible. Only possible approach I know about is to use oneagent plugin using SDK to fetch your custom metrics. Since you are referring to running custom SQL, you will need to handle all aspects such as connection, running SQL and returning results. You will also need to manually configure connection parameters for the plugin, as you can't retrieve this information from running applications.