Subscribe Streaming Dataset to a Message Broker

Hello,

I'm trying to create a new Streaming Dataset, but using a broker subscription to get the data.
So, in PowerBI Service, I choose new Streaming Dataset, choose API, set the fields I'm going to receive, and hit create.
This will provide me a push URL, which I will use to push my data into.

However, I want to use this URL to subscribe to a message broker, so that the URL is ready to recieve the data directly from the broker.

Has anyone tried this before? Is it possible to acheive?
Thank you!