There are a lot of different resources available for users learning to create a web data connector. Some of the examples connect to government data APIs but I did not find any specifc example for the specific API listed above but I hope the included resources below help.
The ability to connect to a 'live' web data connector as a live data source is currently not built into the product. Please vote up the idea for the following feature to be added to the next version of Tableau.
Hope this helps!