Hello Gupta, Rudra,
Welcome to the microsoft Q&A forum.
To set up an On-Premise connection from Power BI Workspace to Amazon Athena, please follow the steps outlined in the following documents:
https://docs.aws.amazon.com/athena/latest/ug/connect-with-odbc-and-power-bi.html
https://learn.microsoft.com/en-us/power-query/connectors/amazon-athena
If you encounter any issues or error messages during the setup, please provide more details about the problem so that we can assist you further.
I hope this helps. Let me know if you have any further