create custom connector to be used in API request using token

(this request was originally opened under desktop community but I was advised to move it to this board)

I have a API token from an application and I can select get data> web and add the base url and http parts to the dialog box and get data back. 

Now it is needed that we use the API token in PowerQuery SDK to create a custom connector that will be used to refresh though a gateway. 

Is this supported in PowerBI? Has anyone any advice on how to do this. ?I have searched though many youtube videos and pages but have not come across a description of how to achieve all the elements of this solution.