SharePoint Audit Report using Power BI

You may want to be a bit more specific as to what audit data you are after.  Here's an example of how to get document level audit data via Powershell

https://social.technet.microsoft.com/wiki/contents/articles/23900.sharepoint-get-audits-for-a-document-using-powershell.aspx

Here's another one that allows you to search for specific entries

https://www.codetwo.com/admins-blog/enable-view-sharepoint-online-logs/

You can't connect directly to the audit logs via Power Query that I am aware of. You will need to connect to CSV exports. As lbendlin indicated, you can do this via Power Shell. You can also manually export the logs via the Audit Log search tool at protection.office.com for your tenant and filter for SharePoint.