If you deploy to the SAP Cloud, you can use the SAP Cloud Connector to create secure connections to your ERP systems. In the Cloud Connector, you choose which on-premise OData services you want to make available in your SAP Cloud environment. You can then easily consume your SAP OData services in the SAP Cloud, as described by the guide linked by Jakob Schillinger.
I don’t know if you can also deploy your SAP app to the Mendix Cloud. If you did, you could no longer use the SAP Cloud Connector. You would need to use some 3rd party tool, that allows you to securely connect your on-premise OData services to your Mendix Cloud environment.
There is a great tutorial here:
Just install and setup the described app store items and you will have a SAP connection up and running in less then 5 minutes.
And at the Academy there are even more tutorials that will be of great help. Click on “Find your module” and “SAP”