Yes, you could have a cross domain issue, unless the web service you are calling has a PJSON or equivalent method.
The good news, is Finesse has a feature that allows you to call a cross domain web service from a gadget. The WebServiceSample gadget has a good example.
Here is a code snippet showing the use of makeRequest...
params = params || {};
params[gadgets.io.RequestParameters.HEADERS] = params[gadgets.io.RequestParameters.HEADERS] || {};
// This is the url we want to get to:
// http://10.88.194.158:8080/userContent/HelloWorld.html
// TODO: Change the IP address to your server
gadgets.io.makeRequest(encodeURI("//10.88.194.158:8080") + url, handler, params);
