Hi Juan,
We understand it is not possible to directly connect to Excel workbook stored in SharePoint online but there’s a way to achieve your requirement. If you are trying to import data from Excel workbook that is stored in SharePoint online, open that workbook in desktop application and then click File>Info>Copy path.
Clicking “Copy path” will give you a path in this format: https://Tenant.sharepoint.com/sites/SiteName/Shared%20Documents/FileName.xlsx?web=1
With this starting point, all you need to do is remove the ?web=1 query string parameter at the end of the URL, and you have the path to the workbook that Power Query needs.
If you are importing data to Excel, you can use Get Data tab. Choose “From Web” as the data source in the Get Data menu, and paste this URL into the Dialog.
Click Ok and it will open a small Window, select Organizational Account, click Sign in and enter your work or school account. This will open a navigator, where you can select tables and worksheets, and can start manipulating and analyzing your Excel data.
Please check if this works for you. If you need nay help let me know. Have a nice day and stay safe😊
Regards,
Neha