Salesforce provides convenient way to related records when creating or upserting records for lookup relations. Using external id of related records avoids use of performing lookup SOQL queries when integrating records using create or upsert operations.

Import Salesforce WSDL into SOAP UI, use create request and format message to use external id, example when creating Case to an Account(Customer) we can use external id of Account object and modify request message to replace accountId fields with following snippet. This will relate to Case to Account where external id is specified.

<Account>
  <Customer_ID__c>?</Customer_ID__c>
</Account>

Refer this article : https://help.salesforce.com/articleView?id=000002783&type=1

This articles focus on Salesforce DataLoader tool, but same concept can be used with  any other Midddleware platforms like Informatica Cloud, MuleSoft, Dell Boomi.

DataWeave code to relate records using external id

%dw 1.0
%output application/java
%namespace ns0 http://service.chc.com/
---
{
	Account: {
		Customer_Id__c: payload.ns0#createCase.arg0.customerNumber
	},
	ContactId: payload.ns0#createCase.arg0.contact,
	Subject: payload.ns0#createCase.arg0.subject,
	Description: payload.ns0#createCase.arg0.description
}

Example I have shown here is relating records using SOAP UI and DataWeave