Data connectors in Power BI

No, I don't believe there currently is an SFTP connector.

There is an idea here that you could vote for https://ideas.powerbi.com/forums/265200-power-bi-ideas/suggestions/11057568-sftp

Or there are some 3rd party tools that you can purchase to facilitate this sort of connection. But I have not used any of these so I don't know how well they work.