You will need to create the variable in bash before passing it to awk with the -v flag and so:
cmd=$(mysql --host='abc' --user='def' --password='..' --database='ghf' -sNe \"select VALUE from table where KEY='171-125';\")
awk -v cmd=$cmd '{ some awk script }'
Alternatively, if you want to parse the output of mysql, do:
awk '{ some awk script }' <<< $cmd