If you're using Azure Databricks, you can create a vnet data gateway on Azure.

https://learn.microsoft.com/en-us/data-integration/vnet/create-data-gateways

https://learn.microsoft.com/en-us/data-integration/vnet/high-availability-load-balancing

You need to create a subnet that will work as a gateway for pbi to access your Databricks Sql Warehouses.
The number of data gateways you create on PBI is related to the number of concurrency queries you can run in parallel.