Integration with a SAAS hosted in azure

We are a SAAS service provider. All of our customer data is now hosted in Azure DB, we have a web portal for user to access to business data through our proprietary authentication.

We would like to let our user to access their data in PowerBI, ideally, they would login to their powerbi and somehow our pre-packaged data could be shown in both thier dashboard and report page.

My question are:

1. is this possible to do so through oAuth?

2. what is the best way to access the data in user level?

3. for 2, could it be done through azure db (the current db owns data of all user)? Is there any way to filter user-specific data through this way?

If so could anyone here give some direction in how to kick start our integration since we found the the resources of powerBI is a little fragmented, what we need is just a correct direction.

Thank you.