SSAS connection using SSAS connector to Server on another domain fails

[Anonymous]

The domain on which I have an office365 account, which I use for powerbi,  is different from the analysis services server I am trying to connect to. 

So my powerbi account is:

..@mydomain.com

While i have a local account on my server which is :

nameofssasserver\myname

When configuring the SSAS connection it says It can not login on the server as it simply does not know "mydomain". What is the easiest way to accept this user? I am thinking about some kind of proxy