I would like to transmit 20k sps from an Arduino to a web-server. The data rate required would be ~3Mb/s, thus Wi-Fi seems to be an appropriate technology for the process.
Is this feasible?
Any hints and ideas are highly appreciated.
No. An Arduino UNO isn't able to gather and send this amount of data.
In case you don't use an UNO, you failed to provide the necessary information to answer your questions. Read the sticky post "How to use this forum - please read" at the top of the topic to learn what information you failed to provide.