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The COVID-19 pandemic has required greater minute-to-minute urgency of patient treatment in Intensive Care Units (ICUs), rendering the use of Randomized Controlled Trials (RCTs) too slow to be effective for treatment discovery. There is a need for agility in clinical research, and the use of data science to develop predictive models for patient treatment is a potential solution. However, rapidly developing predictive models in healthcare is challenging given the complexity of healthcare problems and the lack of regular interaction between data scientists and physicians. Data scientists can spend significant time working in isolation to build predictive models that may not be useful in clinical environments. We propose the use of an agile data science framework based on the Scrumban framework used in software development. Scrumban is an iterative framework, where in each iteration larger problems are broken down into simple do-able tasks for data scientists and physicians. The two sides collaborate closely in formulating clinical questions and developing and deploying predictive models into clinical settings. Physicians can provide feedback or new hypotheses given the performance of the model, and refinement of the model or clinical questions can take place in the next iteration. The rapid development of predictive models can now be achieved with increasing numbers of publicly available healthcare datasets and easily accessible cloud-based data science tools. What is truly needed are data scientist and physician partnerships ensuring close collaboration between the two sides in using these tools to develop clinically useful predictive models to meet the demands of the COVID-19 healthcare landscape.