is there a way in Appian where you could run any data script you want? so I have

You can use "executequery" plugin function. It takes "DataSource" and "Query" as parameters and both have to be text. This plugin is to be present in your Appian server otherwise you have to deploy it.

Thanks Akhil. Do we have any example on Appian using this function as well as documentation?

That function used to be part of the Advanced Form Utilities and was JavaScript based, since the modern UI no longer supports JS this has been deprecated and removed from the Shared Components forum.appian.com/.../all instead you should be using query rules or the Query RDBMS node and activity chaining.