Connect PBI to third party API

Would it be possible? If so, could you direct me to the instruction?

Right now we receive an excel sheet from the third-party company every week, that we use the excel sheet from them to update the PBI report, this way is time-consuming and not efficient. We want to automate the process.

The third-party company is willing to open their API to us for the PBI reporting, I'm wondering that if it's possible that the PBI desktop can connect to the API directly and retrieve the data from there?

Any insights would be super helpful!

Thank you in advance!