Error while connecting to AmazonAthena gateway. We cannot convert the value null to type Record.

Finally I could solve this problem. Thanks for everyone who tried to help. Incase if others face the same issue, below is how it is setup for us.

1. Install the gateway and Athena ODBC connector on a ODBC machine. We DO NOT need to put this in Customer connectors. 

2. Give the role based permissions (based on how you want your authentication) to the machine where above two components are installed. Make sure you are able to connect from ODBC to datasource by doing "Test Connection" in ODBC configuration dialog. There we used Authentication mechanism as "Default". 

3. When creating "Datasource" in Power BI service using the "gateway" name that was setup in step1, selection the authentication as anonymous.

This should create the datasource successfully.