Access the database server from the web server

I have a requirement to create a file/folder on the database server from the web server. Currently we access the database server from web server(on DMZ) via RDP, and there is one firewall port open for FTP. The idea is to generate some files and put in on the data server so that the Web API can access it. Basically I have written a stored procedure with the output path that points to the data server so that both sql and web api can access.

Kindly let me know what are the possible ways to achieve this. as I dont see any errors , but just doesn't write anything on the data server.