As showed here we can easily implement an inline editing of a data table.
Now I will need to have this editable field to behave like a lookup field and not a normal text field.
Is this possible? What is the best possible approach? Does Salesforce already have this feature planned in their roadmap?
For today, it would be to write your own SLDS-based table, or perhaps start from a demo(note: this is only an example) that's already built. We don't even have a lightning:lookup field or the like, so you'll need to find one of those, too (they're really common, it's one of the most sought-after features that we don't have yet).
Even if they did have it planned, I suspect you'd be able to implement it faster than waiting for it. At the time of this answer, we don't even know what features they have planned for Spring '19, much less further down the road, and I doubt they'll have it in the next release.