Currently the EXASOL analytic database can be connected only via ODBC. It would be great to have a dedicated DirectQuery connector to fully exploit the power of an EXASOL cluster
As an alternative, use SSAS (analytic services) and setup a real-time ROLAP against EXASOL. Then connect Power BI to EXASOL via the SSAS ROLAP. Long term, a native connector would be ideal.