As part of the SharePoint SDK, Visio team has published more documentation about creating Custom Data Providers. As you may recall, Visio drawings can connect to a variety of data sources, including Microsoft Excel files, SharePoint lists, SQL databases, and any other ODBC-compatible data source. In you want to connect to a different data source, you can create a custom data provider. With a few lines of code, your custom data provider can connect to data from a variety of data sources such as XML files, Web services, OLAP cubes etc.
This white paper outlines all the steps required to create, configure and install a custom data provider. The complete object model reference of custom data providers is also available.