Connecting to SQL DB through OnPrem Gateway

Hi there i am trying to connect to a DB on SQL running on an IAAS Azure VM (Not Azure SQL Service).  I have installed the OnPrem Gateway on this VM and successfully connected to the DB in question through the PowerBI Portal.  I however now need to actually pull data and design the BI report in what i believe needs to be the Desktop App but i am not prompted to use the Gateway in anyway from the PowerBI Desktop App.  Based on some reading it appears i may need to run the Desktop App on a machine that can connect directly to the SQL server, IE i cannot use the gateway to design my reports etc.  Is this the case? Is there any other way to do this? As this is on an Azure VM this is rather inconvenient as i would need to install the desktop app on the VM in Azure or on another VM on the same VNET then RDP to this VM to model my reports etc. Or connect to this network via a VPN of some sort from my workstation.  Am i doing something wrong, is there a better way to do this. Any assistance would be greatly appreaciated.  Again the goal is to use PowerBI desktop to model my reports / dashboards from my workstation when the data is located on a VM in Azure for which which a gateway successsfully connected.