Where is it correct to connect the database to the java ee project when using wildfly?

Question

MySQL

Where is it "more correct" to connect the database to the project?
Directly in the wildfly server itself? or in the app?
If on the server, then how in this case it will be possible to run tests that should check the work with the database?
And if in the application, then tell me how? No matter how I struggled, I could connect to the database from the application only when manually setting the database through the wildfly admin panel.