In the typical connection diagram, the AD7922's VDD is provided by the REF195,is it have to?
If I use a power supply directly,is it ok?
No. To squeeze it into an 8 pin package, the VDD pin is also used as a VREF by the ADC.
Most LDOs, etc, have too much noise. It would be especially bad if you were using a switcher.
If you really want 12 bits of accuracy, I would use the newer ADR4550. The REF195 was used
on the data sheet because that was the best part at the time many years ago.