This is most likely due to the connection string missing:
Catalog=<catalog-name>
where <catalog-name> is the catalog where your data is. There are many drivers that do not persist <catalog-name>, so JMP doesn't know there is one.
For instance, in say, Open Database, you'd modify it like (adding the Catalog=<catalog-name>entry):
Open Database(
"Driver=Simba Spark ODBC Driver;Host=adb-***********.**.azuredatabricks.net;Port=443;HTTPPath=sql/protocolv1/o/*********/****-*******-**********;SSL=1;ThriftTransport=2;AuthMech=3;UID=token;PWD=*****;Catalog=<catalog-name>;Schema=<schema-name>;ProxyHost=***************;ProxyPort=****"
);
For Data Connectors (introduced in JMP 18), you'd add the Catalog=<catalog-name> in the Connection value like:

The other values are probably OK. With a JMP 18 Data Connector, ODBC configurations are obtained from the ODBC Manager and converted to a Data Connector.