ODBC connection with RD Gateway
I'm not an RD Gateway Expert, but I think you don't have to and you can't use the RD Gateway Server for Database Connections through ODBC. 
If you want to access an SQL Server from Outside, you will be better with a VPN Server.

The RAS Gateway could fit your needs -> https://docs.microsoft.com/en-us/windows-server/remote/remote-access/ras-gateway/ras-gateway). 

Alternativly, you can connect with RDP through your RD Gateway Server to a RDP Server inside your company and start your application with the ODBC connection.

Best Regards,
Björn