Hi
Firstly, Dimah has added comments in this idea, “you can combine gateway and most online data sources as long as you're not using oAuth. The item is on our backlog and we're planning to get it out in the next few months” . In other words, when you load data both from an Excel file on OneDrive for Business folder as Web resource and an SSAS cube (import) in a PBIX file, you are not able to use on-premises gateway to refresh the dataset in Power BI Service. Please use personal gateway as a workaround.
Secondly, when you add multiple data sources (local files + db or SSAS)in a single dataset, you can use on-premises gateway to refresh your dataset, please make sure you add all the data sources(local files + db or SSAS) under on-premises gateway.
Thanks,
Lydia Zhang