Make report over different databases on sql server

First, I would wonder why you have a single database for each customer instead of one database with a field for customer to differentiate between them.

But...you should be able to access them individually using Power Query by using each database as a data source.  Add a field for customer to each table pulled from each database so that when you merge each query together you can still tell which customer the data applies to.  I don't believe that you can loop through them in Power Query, but someone who is stronger in that can offer guidance.

But again, your underlying is that you shouldn't be using separate databases for each customer...that is just creating problems for yourself.