Workaround. You can copy/paste the path of the folder from SharePoint into Windows Explorer, and then open the file. Copy address https://[your tenant].sharepoint.com/sites/[sharepoint site name]/[containing folder] and paste into Windows Explorer
Additionally, you can pin the folder to your Windows Explorer Quick Access to get there quicker next time. And don't forget that once you do get the file from SharePoint to open in Power BI you can pin to the File > Recent items.