Hello @Muhammad Aslam
Welcome to Microsoft Q&A.
I beliave you are looking for a tutorial for this, right ?
so..
u can find all information on Microsoft Learning>
https://learn.microsoft.com/en-us/power-apps/maker/canvas-apps/gateway-reference
https://learn.microsoft.com/en-us/data-integration/gateway/service-gateway-install
https://learn.microsoft.com/en-us/power-query/dataflows/using-dataflows-with-on-premises-data
And yes, SQL area suported to create a connector on gateway to power apps.
I hope this help you.
Regards