Love this initiative! I have some experience with Stata so I would like to offer my help in developing the API plugin.
As it looks the two straightforward entry points would be the JSON API (I read somewhere that it should be already active or soon to be), on the basis of the Stata libjson library and the insheetjson command by Erik Lindsley. Alternatively, it may be interesting to integrate the API with the existing command sdmxuse from Sébastien Fontenay, which already allows to import data from WB, IMF, OECD, Eurostat (and via tweaking other services sharing the same API specs, e.g. the Belgian National Bank).
The first solution may be more elegant as sdmxuse uses a lot of shell calls which tend to make import process rather “flashy”. Another important aspect to consider is whether to allow insecure requests: only the two latest versions of Stata (14 & 15) support the https protocol, but I reckon earlier versions are still widely used.
Keep up the good work, can’t wait to see all the new sources you are planning to include up and working.