Not tried, but you could try first to consume this webservice using the provided WSDL and then change the consumed webservice to a published webservice. If the WSDL that Mendix produces is the same as the WSDL you got then it works.
[EDIT] For importing the webservice look at the documentation here: https://world.mendix.com/display/howto6/Consuming+a+complex+web+service As the result you should not have a new entity and the attributes provided by the webservice. This will probably be non-persisted objects. Now change them to persistend objects and create the forms to view the objects. From there you can use the documentation here (https://world.mendix.com/display/howto6/Exposing+a+web+service ) to expose this table as a webservice.
Thank you Ronald, Any idea how I can turn a consumed webservice into a published one? Thanks again.