You have a cloud data source like Azure SQL Database. Why can’t Power BI connect to it? They are both in the cloud! Adam shows you some things to consider and options you have!

What is an on-premises data gateway?
https://docs.microsoft.com/data-integration/gateway/service-gateway-onprem

What is a virtual network (VNet) data gateway?
https://docs.microsoft.com/data-integration/vnet/overview