Not exactly sure what your question is. If you want to do joins you could try and use a local database and KNIME’s generic database nodes. H2 offers the possibility of in memory DBs so given you have enough power on your machine that may speed up joins.
Otherwise you might want to upload an example of what kind of database question you have. In the end from my experience you will have to test which solution is best for you. An advantage of KNIME DB nodes would be you could reuse your code with a whole range of other Databases later if you need more serious power.