Macroeconomic model or knowledge base representing connected industries in the world I'm looking for data (model, Expert system, knowledge base) that describes how different industries and countries interact with each other. And the nature of the relationship between them.
An example of such a relationship could be the recent covid-19 crisis.
The crisis forced countries to close the borders, which affected travel, and hospitality industries in a negative way. But the lockdown and people's inability to go shopping led to profits of shipping companies.
Is there a database/API/graph or any source of data showing this kind of connection between industries and the nature of that connections? Some books research papers discussing such a model?
Some question that might be answered with this data:

What will happen if say, Belgium (or any country), would force 'iron curtain' on itself and stop all economic activity with the rest of the world. What industries, in the world, might be affected?
What industries will be affected if the USA banned oil production?
What industries rely on Maritime transport? If for some reason only 10% of all Maritime transport will be operational what industries will increase their profit and what industries register a loss?

The other question is, knowing that the world is infinitely complex, is it even possible to have such a model, even on the macro level?
is it even possible to have such a model, even on the macro level?

Yes, it is entirely possible. There are large scale general equilibrium models that would be able to answer those sort of questions. For example, the questions you are asking could be answered with dynamic stochastic general equilibrium (DSGE) models.
Namely, you want some large-scale multisector DSGE model (there are smaller versions where you will lump multiple sectors together), such as the multisector DSGE model used by  Antosiewicz &amp; Kowal 2016 for investigating effect of CO2 emissions reductions mandated by policy on the economy. In fact based on your description you likely want to go even bigger and include more equations - that is still doable, once you know how to make 2 sector DSGE model adding more sectors is just question of having data and enough time (usually large and detailed DSGE models are built by large teams not individuals).
You would likely want to first start by studying some simple cases though. Macroeconomic Theory a Dynamic General Equilibrium Approach by Wickens is good introduction.
Alternatively, you could also model it via old school input-output tables in some sort of Leontief model, but that would likely be less accurate than the above. However, if you are planning to do this just for fun that would be easier.

Is there a database/API/graph or any source of data showing this kind of connection between industries and the nature of that connections?

This sort of question cannot be answered with raw data. For example, if data would show that there is 500 mil ton of fish imported into Belgium from outside, you can't just assume that Belgium will have this amount of fish less because under autarky Belgium could increase its production of fish at the expense of other industry so you always need some model for tracking all the effects through the economy.
As for data, you have to be more specific. There is no single 'uber'-economics-dataset that would have all economic data in the world. For most EU countries you could get necessary data from their statistical offices. For example, for the Netherlands you would likely be able to find most data you need if not all at CBS (it is hard to say unless you precisely specify the model).