It is possible. Go to marketplace and install the extension Open in PowerBI:
https://marketplace.visualstudio.com/items?itemName=stansw.vsts-open-in-powerbi
It will add a dropdown link to open your query in PowerBI. Internally the data source does something like this:
let url = "https://<myorg>.visualstudio.com", collection = "", project = "<myproject>", team = "<myteam>", id = "<query guid>", // Create wrapper for VSTS.AccountContents function as a workaround for the static code analysis in Power BI Service. contents = (o) => VSTS.AccountContents( url, [ Version = Record.FieldOrDefault(Record.FieldOrDefault(o, "Headers", []), "Referer", ""), IsRetry = Record.FieldOrDefault(o, "IsRetry", false), ManualStatusHandling = Record.FieldOrDefault(o, "ManualStatusHandling", {}), Query = Record.FieldOrDefault(o, "Query", []), RelativePath = Record.FieldOrDefault(o, "RelativePath", null), Timeout = Record.FieldOrDefault(o, "Timeout", null) ]), Source = Functions[WiqlRunFlatWorkItemQueryById](contents, url, [Collection = collection, Project = project, Team = team], id) in Source