Integrated language+database solutions are a recurring motivator for new one-off languages: Pick System and FoxPro are classic examples of writing around a custom language vs "scripting" inside SQL. Applications with custom database-like systems such as game engines also frequently lean in this direction(UnrealScript, GDScript). The main difficulty is in the practicals of getting all of the desired functionality into a useful package - not the theoretical aspects.
As of right now (for game projects) my strategy is to use source code generation to make the working language behave in a database-like fashion and emit a static result, rather than to engineer a complete dynamic schema with a scripting runtime and all the bells and whistles of a standalone database. The latter is both harder to build and lets me leverage fewer of the tools of the host environment.