Power BI should natively support GRAPH API calls as a data source. GRAPH is based on REST/JSON/ODATA and OAUTH 2 and is the new recommended way to integrate with O365 and get reporting data.
See this Idea: https://ideas.powerbi.com/forums/265200-power-bi-ideas/suggestions/15198333-add-microsoft-graph-api-as-a-connected-service Isn't it the same?
