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Rmarkdown notebooks can contain SQL chunks, so you'd only need to use R to configure the connection. [1]

I didn't know you could write SQL directly in Rmarkdown like this, very interesting. Thanks!

Same, when I've read the docs I've always got the impression that it was R only supported.

There are loads more supported via knitr. Scroll to the top of that linked page in this thread for the list.