This may be possible if you can setup the proper ODBC connection string and express a correct query but it has not been tested. I will need to investigate whether this is supported. Are you able to verify you can connect to and query the Excel spreadsheet via ODBC outside of R? Can you provide the entire script you are trying to run as well as what version of Excel you are running.
If this will not work with rxImport, an alternative would be the RODBC package which does have more direct Excel/ODBC support. This would bring the Excel spreadsheet into a data frame which could then be written to an XDF file.
Here is a short general example for importing an Excel workbook into an .xdf file:
sConnectionStr <- "Driver={Microsoft Excel Driver (*.xls, *.xlsx, *.xlsm, *.xlsb)};DriverId=790;Dbq=C:/Data/ODBCTest.xlsx;DefaultDir=c:/Data;"
testExcel = "SELECT * FROM [Sheet1$]"
excelDS<- RxOdbcData(sqlQuery = testExcel, connectionString=sConnectionStr)
excelDS_XDF<- RxXdfData("testFromExcel.xdf")
rxImport(excelDS, excelDS_XDF, overwrite=TRUE)