I was looking to correlate data from Tenable Security Center and Common vulnerability database.
Is there a Splunk app for external data feed from a web url?
https://cve.mitre.org/cve/ or http://web.nvd.nist.gov/view/vuln/search
using the search function on apps.splunk.com you can find multiple apps doing exactly what you asked for.
Like the URL Receiver and many others.
The full list is located at https://cve.mitre.org/data/downloads/allitems.html