Hi
Does it return expected result when you enter "https://esharenew.companyname.com/sites/ParentSiteName/Child%20Site%20Name/name" in Browser? If there is no issue in Browser, directly copy "https://esharenew.companyname.com/sites/ParentSiteName/Child%20Site%20Name/name" from browser and paste it in Power BI Desktop to connect to SharePoint Online child site.
In my scenario, I enter URL using the following format, it works well.
Thanks,
Lydia Zhang