It would help if you explained your use case more fully. Where does your SAS data reside? On a SAS server, your PC or somewhere else? How many SAS tables do you want to get access to and how often are they updated? Is PowerBI version you are using the PC app or the server-based version?
If you are trying to connect to a remote SAS server, that will only work if you have SAS/Share installed and licensed. Personally I've found it a lot better just to load SAS tables into SQL Server as there is no complicated setup required to work with PowerBI. This is probably only a good option for small numbers of tables and lower data volumes however.