Hi Sunil,
I recommend importing your response from your API with an import mapping. Then in a microflow retrieve the objects created from your import mapping and create objects/associate to existing objects in your data structure.
If you have CustomerID stored in your customer entity and the rest API response has customerID in the orders table, then you can retrieve the customer from the database using an xpath constraint, then create the new order and associate it to the existing customer.
Here is some documentation that may be helpful
Rest call:
https://docs.mendix.com/refguide/call-rest-action
Import mapping: