Cannot connect to a new data source anymore - Connecting please wait while we establish a connection

The same problem occured for me from one day to another when I tried connecting to any datasource. This was odd since other reports didn't seem to have any issues connecting. Today I found a solution that worked in my case. 

The problem in my case was the following:

There are different versions of PowerBI available for download, one you can download through the PowerBI website, and one you can download through Microsoft Store.

I'm using the version downloaded from PowerBI's website (Microsoft PowerBI Desktop (x64)), and create all my reports in that version (Don't ask me why I have both versions installed). I'm not sure why or when it happend, but suddenly the report I was working on had changed the version it used to open the report, from 'website version' to 'Microsoft Store version', and this messed with the connections to the company databases.

The fix in my case:

I simply changed the version the report should open with to the 'website version' of PowerBI, and made sure to set it as default program.

Right click report -> Open with -> Choose another app -> Select the right version: "Microsoft Power BI Desktop" -> Click Always use this app to open .pbix files -> OK

This might not be the solution for every case of this problem, but it worked for me.