They're completely different constructions, but -- as usual -- most of the identifying marks have been rubbed off, so that it looks like one word has simply been substituted for another. Not true.
- Depending on data (that) it receives, ...
(that) it receives is a Relative clause modifying data, and the relative pronoun that (which is also OK here instead of that) is, as noted, optional, because the relative pronoun is not the subject of the relative clause. One could use the data just as easily, because data is simply a noun phrase object of the preposition on, and noun phrases can take articles.
On the other hand, in
- Depending on what data it receives, ...
the object of the preposition on is an entire subordinate noun clause, instead of a noun phrase modified by a subordinate clause. In this case, it's an Embedded Question.
Embedded question clauses can use what; relative clauses can't use what. In addition, you can't add an article here; what already fills the determiner slot and what the data is ungrammatical (except, perhaps, in some bizarre scientific oath like what the hell?)
Grammar is not about word use; grammar is about Constructions. They determine everything.