Hi @maxianren ,
Thanks for using Microsoft Q&A !!
I do not see any issue connecting to a PostGreSQL Server from PowerBI. Also, if your PowerBI version is earlier than December 2019 then you must install NpgSQL provider on your local machine for connecting to a PostgreSQL Server. However, after December 2019, NpgSQL 4.0.10 shipped with Power BI Desktop and no additional installation is required.
Please refer to the postgresql documentation for details.
Also, if you are trying to use ODBC then instead of selecting PostGreSQL from PowerBI you need to select ODBC from the connection and provide the necessary server details to connect to specific postgre instance. (See steps below)
Select None and add server details like Driver={PostgreSQL ANSI(x64)};Server=<Server Name>.postgres.database.azure.com;Port=5432;Database=testdb; and provide username/password to connect to specific database and retrieve data.
Please let me know if you have any other questions.
Thanks
Saurabh