Connecting Desktop to a remote SQL Server

Hi everyone,

I have a situation where I need to be able to develop in Desktop against both an ODBC data source in the cloud as well as a local server. Here is a high level view:

• Main data source is a cloud based ERP that the vendor provides an ODBC connection to. 
• The Gateway is installed on a utility server and uses the ODBC to fetch data from the ERP. This all works fine
• We have a new requirement to capture some point in time data to do some trending so we installed a SQL Express instance on the Gateway server so it can pull through ODBC and store it in a custom DB/table. This also works fine and I'm now collecting the data for our trending reports.
• I was able to create a simple report with a connection to the local data while logged into the Utility / Gateway server. I published it to the service and was then able to add that data source to the Gateway for refresh purposes. This also works as expected.
• Now my conundrum. I need to build the new Trending Reports in an existing report file which I work on locally on my own machine which is not connected to the network where the Gateway is located. Up to this point I have an ODBC DSN to the cloud data source so it's never been an issue. So how can I now also access that new on premise SQL Express instance without a VPN connection (I was only recently given RDP access directly to the Gateway server)

I'm thinking that my only options may be to have a VPN connection to the Gateway server where SQL Express sits or open up ports for SQL for remote access but I think the client may not be open to that. My other concern is making sure that however I am connecting locally to develop doesn't cause issue in the Power BI Service once published.

Any advice is greatly appreciated!

Kevin