DataSource.Error: The downloaded data is HTML, which isn't the expected type

Still, for users with clients that have a concern re: data privacy this is not a long term solution. 

I found that if you Embed instead of Link when Publishing to Web and then use the URL in between the code below you can connect to the Excel table in PowerBI. 

<iframe src="URL"></iframe>

The one issue with this approach is that there are slight differences between the way the table imports (e.g., empty rows in row 1 and 3) which cause a little rework in Query Editor. Fine if you have one workbook; however, a pain if you have many workbooks and data sources.