Hi @talk2gwhite,
From my experience thus far with BI gateways at work I believe you are correct as SharePoint is considered off premise, but I’m sure one of the experts will correct me if I’m wrong.
If you are looking to connect via to your data via SharePoint you can try the following steps.
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Open the Power Query
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New Source / More
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Type SharePoint - List - folder - online list, will appear. Select.
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IMPORTANT - URL input will popup - only copy the URL of the SharePoint site not the directory folders.
Generally this is the first part of the site…example: **https://hant.sharepoint.com/sites/7049**/
If you get any errors, you will need to contact your SharePoint Admin team and adjust your Specific SharePoint Permissions for that site.
From a Gateway Setup perspective, IT Admin will setup the Gateway for you in your organisation if you have sufficient permissions.
Hope this helps.
Kind regards
Adam