There is no BMC Helix connector currently listed on the connectors page for Power Query (https://learn.microsoft.com/en-us/power-query/connectors/).
However, from the documentation here (https://developers.bmc.com/site/global/bmc_helix_platform/develop/bmc_helix_platform_api/index.gsp) Helix does support a REST API. You could build a custom connector using that.
There's an introduction to building custom connectors for Power Query here: https://learn.microsoft.com/en-us/power-query/startingtodevelopcustomconnectors
John Welch
MSFT