My answer is quite practical as I do not know how to straight up connect a MySQL database to Copilot nor if there are official solutions currently available, but when I want to ask Copilot or any A.I. about a db I just copy the schema in a temporary file.

You can probably copy the text version with the headers into a file as well if you want to ask about the data (that you get using your regular SELECT in the command-line but keep in mind chatbots all have a restricted amount of tokens they can process).