The "data base" referred to is the set of rules (or "recipes"). The documentation says this:
For each of those files, it issues the recipes recorded in the data base.
While these are normally compiled-in (embedded) in GNU make, it is common to provide these rules also (or, instead) as a separate text file. GNU make has a command-line option
--print-data-base to show the rules in effect. POSIX make defines a set of standard rules; most implementations extend those rules.
For example, some systems use the (finally...) standardized "include" feature to incorporate extra rules beyond the user-supplied makefile. The GNU documentation considers your makefile to also be part of the make database (whether that is a prevalent interpretation is debatable: POSIX does not use that terminology).