Currently there is no direct way to connect PowerBI to ERPNext database. There are 2 workaround solutions available;
1) Using an alternative to PowerBI (Metabase)
Metabase has good enough BI capabilities and can be hosted on the same server as ERPNext. Follow this guide for detailed instructions: [Guide] How to install Metabase (dashboard) along with ERPNext on Ubuntu 18.04 server
2) Using multiple instance groups
- Setup a mechanism to take a daily backup of ERPNext database
- Import the backup dump on a MySQL server (acts like staging area) that support remote connections and then connect to it using PowerBI connector / API gateway
- You can also setup the staging server on localhost if you do not want to get into the API gateway step