@Rajeev Kumar Dave There is a new PostgreSQL connector for the virtual network data gateway you can use to connect to Power BI.
To use this connector with vnet data gateways, you have a few options. With Power BI Desktop, you can connect and then publish. Then, log in online and create a dataset from your published file. You can enable this dataset with vnet data gateways. Refer to the below blog for step-by-step instructions on how to do this.
The vnet data gateway is only compatible with PBI datasets, paginated reports (and there are future plans to connect to dataflows)
PostgreSQL connector for the virtual network data gateway
Regards
Geetha