Hi
Based on my research, there is no OOTB data source type in Power BI for us to connect to Enigma datasets directly. In your scenario, I would suggest you export the dataset to .Jason file via "Open in API" or .csv file via "Export" from the site like below:
Then in Power BI Desktop, you can connect to this .Jason or .csv file and analyze the data. If you want to update the report data based on the online dataset, you need to update the exported .Jason or .csv file firstly. For this issue, you can contact Enigma if it's possible to export datasets automatically based on a schedule.
If you have any question, please feel free to ask.
Best Regards,
Qiuyun Yu