I don't think you can effectively achieve your goal. While it's theoretically somewhat possible, Databricks documentation says there is no guarantee for correctness - Auto Loader FAQ | Databricks on AWS
I would recommend you go over the recording of Power BI on Databricks Best Practices (youtube.com) webinar from couple of weeks ago.On top of that, I would strongly recommend evaluating if you need to go through a PBI Data Gateway for security reason...
