SaaS app integration

I'm developing a single page app on ASP.NET Core 2.0/Vue JS that includes tight integration with Office 365: auth, OneDrive, Email, SharePoint, etc. 

I would like to have an optional Power BI integration in the app for my clients most of whom have an E5 subscription and thus a license for PowerBI Pro. I'm not interested in Power BI Embedded because of its expense and because, well, most of my clients already have PowerBI Pro.

Users login with their Office 365 creds to access the app. Each tenant get their own SQL Azure database; the api determines the correct database.  

I want this to be a good experience for users; easy to setup, a headstart with some out of the box reporting that works well. I also don't want to have to manually re-create this for each client. I'd prefer a DirectQuery kind of experience. The app is very transactional and delays are not helpful.

Options I'm considering: 

1. Implement API Key as an additional auth in the API for certain controllers; PowerBI would consume those endpoints.

2. Creating a custom data connector/auth for the app. Not seeing many amazing samples of this. Not sure whether to target the api or go direct to the database in Azure. 

3. Pushing the data into PowerBI via the API. 

I'm hoping a guru can jump in and give me some great advice. I've read much of the documentation but things seem to be moving quickly and I'm not sure which direction to go. Also, I'd love to hear how others have done similar things.