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How can one go about implementing a custom data backend usable by Mathematica? For example something like CountryData or FinancialData?

I would like to expose our data backend as a service with similar access logic used in the above mentioned data libraries.

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More of a long comment...

You can easily write a function that will enable your end users to Import data from your custom backend.

customData[param1_]:= Import[...]
customData[param1_, param2_]:= Import[...]
customData[param1_, param2_, param3_]:= Import[...]

Using different parameter sets in your function definition can give you all the kinds of flexibility you see in CountryData or FinancialData.

Placing you functions in an automatically loaded package would make the user experience even better.

I/we would really need some better idea of what you have tried to provide a more complete and useful answer.

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