Not specifically a Solarwinds question, but these two documents should give you what you need to learn. There is nothing particularly unique about connecting to Orion compared to any other MSSQL database.
You would ideally want to have a separate user account for power BI to use, but to just test getting connected you could re-use the same account as your orion application uses to write to the db.
I don't use powerbi enough to know if it can parse json natively, but if it knows how then there's really nothing to stop you from connecting to the API and pushing SWQL to it rather than direct SQL.
