Cannot connect to data source - Authentication method 'dialog' not supported by any of the available

Problem here was the wrong selected data source type. It should have been ODBC instead of MYSQL.

After discovering this it took some time to find out how to connect via ODBC connector (64bit) for MariaDB. Finding the right connection string was difficult but you can find one by going to the windows menu and then type ODBC data sources where you will see the full list of DSN's, pick the one you have for your own connection (mine was MariaDB ODBC - previously installed MariaDB ODBC connector driver). Then go on configure and inside the configuration once you fill out the details for the server, port, database you will have the option to Test DSN. Once you do that you will see the connection string in the popup window.

You need to use this connection string and add it into your Power BI desktop file (in the data source settings - connection string, for DSN you need to choose none).

Once done refresh the dataset, save and publish the report to Power BI service. This will also publish the connection string along with the report and in the Dataset settings on Power BI online, in the gateway connection you will see the new data source:

You need to map the gateway connection to the previously created data source within the gateway settings (using the same connection string).

I hope this helps someone. Dont use the DSN name as it will not accept it, you need the full connection string.