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Refreshing report with Web and SQL on-premise data source
You have to use OAuth2 as authentication.
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Are you merging the data from SQL and Web together, if yes then you have to enable "Allow user's cloud data sources to refresh through this gateway cluster" option in Gateway setting. (Merge or append on-premises and cloud data sources - Power BI | Microsoft Docs)
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This report indeed has a data set in which data from the SQL Server and from the web are refreshed all at once. The option you mentioned was already enabled. My configuration looks like this:
and
where the last picture is my configuration of one of the Web data sets I try to establish.
You have to use OAuth2 as authentication.
If this post helps, then please consider Accept it as the solution and give it a thumbs up