here is the FAQ
relevant section:
What data sources are currently supported with Power BI Embedded?
During the public preview of the service, we are going to support access to cloud data sources that use basic credentials via Direct Query. This means that sources such as Azure SQL DB, HDInsight Spark and Azure SQL DW are supported right now. We will add support for other data sources and access types in the coming months. We’ll announce new supported data sources on the Power BI developer site at http://dev.powerbi.com.