I don't think you can create any so-called linked server to PowerBI.com, as there's no such "provider" for PowerBI.com. However, Power BI actually provides REST APIs to create dataset, push data, embed reports etc. The REST API also has limitation, there's no such a API to get data from a published dataset at this moment. You can check and vote this idea Be able to get a dataset's data via REST API up.
Backgound:
I need to consume data from a published PBI-dataset in R-Script. In R-Script there seems to be no possiblility to directly connect to DAX/PowerBI sources.