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There is no official XML File connector built in Tableau Desktop.
To voice your support for the inclusion of this feature in a future product release, add your vote to the following Community Idea:
The more votes you got the better chances you have to see it implemented.
As RSS feeds are XML based, you would need to connect to an web based xml data source.
Tableau does not connect natively to a XML files, however, we can use Web Data Connector to connect to XML.
You can find more information on WDC in the Online Help Guides bellow:
Please also have a look to the Community thread below for more information on XML Sample Connector.
Hope this information help.