At this moment, there're two ways to create report, as you mentioned, either in desktop or wep app(Power BI Service).
- Create reports in Power BI Desktop, publish/import them to Power BI Service or Power BI azure workspace, then embed the reports.
- Create reports in Power BI Service, with any existing datasets. them embed the reports.
You can submit your idea at Power BI Ideas.
By the way, what is your purpose when trying to create the reports externally?