Embedded Paginated Report Data Source Auth

I am using Power BI Embedded and am trying to embed a paginated report into my web application use a service principal.  I have been able to successfully embed the report, but have a question about the authentication method that the report data source uses to connect to the Azure SQL Database.  The only options I have been able to get to work are:

• Basic - using a basic SQL server user name and password
• OAuth2 - only works is 'End users use their own OAuth2 credentials' is unchecked and I enter a AAD username and password that the report uses.

Neither one of these methods suit my use case very well.  Ideally the report would use the service principal that the web site is using to connect to Power BI to connect to the database, but I have not been able to get this to work.  If I change the report data source to use OAuth2 with 'End users use their own OAuth2 credential' checked then when I load the report in my web page I get an error saying 'This report contains invalid or unsupported data sources.'.

Is there a way to get the report to use the Service Principal to connect to the database?  Or are there any other data source authentication options that I am missing?

Thank You