It is possible to establish a connection to Denodo from Power BI using the ODBC Driver. Virtual DataPort can act as a data source in Power BI, to achieve that you can create an ODBC DSN for the Denodo server.
You can follow the steps mentioned in the Knowledge Base Article [ DSN configuration for ODBC connections](https://community.denodo.com/kb/view/document/DSN%20configuration%20for%20ODBC%20connections%20to%20VDP?category=Northbound+Connections) to VDP to set up the connection and also refer to the document [Access through ODBC](https://community.denodo.com/docs/html/browse/7.0/vdp/developer/access_through_odbc/access_through_odbc) of the Virtual DataPort Developer Guide.
Besides that, if you are a user with a valid Support account then you can download the [Denodo Power BI Custom Connector](https://support.denodo.com/resources/denodo-connect/list/Denodo%207.0) from DenodoConnects in the Denodo support site.
You can also check the [Denodo Power BI Custom Connector ](https://community.denodo.com/docs/html/document/denodoconnects/7.0/Denodo%20Power%20BI%20Custom%20Connector%20-%20User%20Manual)- User Manual for more information.
Hope this helps!