It depends on, how you are consuming the REST service. If you are consuming it in background via scheduled event or something, then it is not possible.
If you are opening a page and wanted to consume the REST service there, then
NOTE: you can also follow similar approach, from the action microflow, where you do all processing and the list must be associated with one parent non-persistent entity. This parent object can be passed to the page and in this case, the datasource for datagrid will be association.
You can follow this for all HTTP Methods
You can check out the documentation about REST services, there it is shown how get data from an API using JSON and using non-persistent entities: https://docs.mendix.com/refguide/integration/consume-a-rest-service/
It can be easily done by consuming the intended API and displaying it in grid through data source microflow.
Read more here