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The security model that we use requires a connection to be create for all the sources that are in your Mashup script. This also means that privacy levels need to be taken into consideration which could impact how data moves between your Anonymous sources and other perhaps sources that should not be sent to that source or others.
I understand from previous comments that perhaps the scenario is more related to using OAuth. You are able to use custom OAuth flows with the Power Query SDK and leverage your own custom connector. You can learn more about this capability from the link below:
Develop a connector using the Power Query SDK - Power Query | Microsoft Learn