Is there a way of connecting Power BI from one MS tenant to an Azure SQL database in another tenant? Or do they both need to be in the same tenant?
If you want to be able to access data from one tenant to another with a user in one aad then you need to establish trust or use the cross-tenant features.
You can connect powerbi to anything is the simple answer. It is not dependent upon data sources being present in azure full stop.
So as long as you have an api, gateway, etc and the appropriate permissions then you can connect. In powerbi desktop you can assign multiple datasources and there is support to make the connection strings to hundreds of types of sources.
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