dax query when importing data

You can't use DAX when importing data.  The most efficient way of implementing such as filter is at the data source level (i.e., by putting a WHERE clause in your query, if using SQL Server, for example).  If that's not possible, you are going to have to bring in all the data and then filter it in PBI.  One way is to do it in M (Edit Queries - Power Query).  Another is to create a new table using DAX.  And a third way is just to add report- or page-level filters.