Unable to create data source

Hi,

I am trying to display report in Power BI service from Athena data source. I can successfully connect data source from my PowerBI desktop. The problem is when I published to Power BI service, I cannot connect to the data source and cannot open the report that I have created in Power BI desktop. When adding data source (in Power BI service), there are only 2 authentication options: Anonymous and OAuth2. It's giving me the error whichever option I chose. With OAuth2, it only leads me to Azure AD sign in page.

Note: I have authenticated ODBC driver using IAM credentials (i.e. using access key & secret access key). In On-premises data gateway, I have signed in using Azure AD account as the sign in leads me to this page.

Could anyone advise/point out where I am doing it wrong?