I think this article addresses at least part of your question:
https://exceloffthegrid.com/power-query-close-load-options/
Using the Data Model enables an extra level of data compression. I've read of examples where using the data model compression 10's and even 100's of millions of rows of data can be loaded into excel. Well beyond the stated million row limit in excel.
<snip>
...
Add this data to the Data Model
... By loading the data into a Data Model, rather than a PivotTable, the file sizes are significantly smaller.
As an illustration, I loaded 1 million rows of data (containing only two columns) into the Data Model. I then used the Data Model to create a basic PivotTable; the file size was 794KB. By contrast, I loaded the data directly into a PivotTable without a Data Model and the file size was 3,488KB. Over 4 times the size! While in this illustration, the file sizes are small, but when working with more data, the variance is even more pronounced.
</snip>
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This article addresses another facet:
https://superuser.com/questions/1475224/what-is-connection-only-mode-do-in-power-query
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Create a memory-efficient Data Model using Excel and the Power Pivot add-in
https://support.microsoft.com/en-us/office/create-a-memory-efficient-data-model-using-excel-and-the-power-pivot-add-in-951c73a9-21c4-46ab-9f5e-14a2833b6a70
In Excel 2013 or later, you can create data models containing millions of rows, and then perform powerful data analysis against these models. Data models can be created with or without the Power Pivot add-in to support any number of PivotTables, charts, and Power View visualizations in the same workbook.
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Create a memory-efficient Data Model using Excel and the Power Pivot add-in
https://support.microsoft.com/en-us/office/create-a-memory-efficient-data-model-using-excel-and-the-power-pivot-add-in-951c73a9-21c4-46ab-9f5e-14a2833b6a70
In Excel 2013 or later, you can create data models containing millions of rows, and then perform powerful data analysis against these models. Data models can be created with or without the Power Pivot add-in to support any number of PivotTables, charts, and Power View visualizations in the same workbook.
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Here is an interesting tool. I haven't used it, but it may help shrink your file size
Workbook Size Optimizer
https://www.microsoft.com/en-us/download/details.aspx?id=38793
The workbook size optimizer inspects the composition of the data model within your PowerPivot or PowerView enabled workbook, sees if the data in it can take less space and if possible, enables better compression.
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Power Query Data–Should it be Loaded to the Worksheet?
https://www.sqlchick.com/entries/2013/9/7/power-query-datashould-it-be-loaded-to-the-worksheet.html
September 7, 2013
Overview: This post discusses situations when you may *not* want to load Power Query data to the worksheet, but instead to the data model only. One reason relates to file size limits in Power BI for Office 365; the other reason is to simplifying & de-duplicate the fields displayed in the Pivot Table Field List.