Amazon Athena Connector witouth Gateway

Hi. Just because Power Bi has a connector it doesn't mean that the connector is a cloud one. For example, the odbc is a connector that needs a windows environment configuration to make a good call. That means it needs the gateway running even if the data is in cloud.

The Athena connector might be built in a similar way. Its code might need a special local evironment and a gateway to make it work. Not all of the connector are cloud. 

I don't think even Microsoft is responsible for building all the connectors. You are working with a different cloud. As far as I can tell, the recommendation for data analysis is building a source of truth in a warehouse environment and not a lake. I'm sure Redshift wouldn't need a gateway for example.

I have worked with Athena in the past. If you want to keep it with that technology, the best way to make it work properly would be creating an EC2 VM in AWS to install the gateway. That way you are not downloading and uploading the data all over again, it is just moved in the same cloud before going to Power Bi.

I hope that make sense and help