Similar, though only for one client ATM, and our clients are fine with cloud storage these days as long as everything is in an account properly locked down (bring your own key, etc.) so only their application instances can access it.
At least the data doesn't rest (as far as we know…) in PowerBI.
This is a nearly verbatim conversation I’ve had three or four times in the last twelve months:
“Why not just use blob storage for the data ingest?”
“We have security standards for sensitive data; we have to use private links and validated protocols and systems.”
“Okay, what’s step two? Where does the data end up? Where do end users consume it from?”
“Power BI!”
“The local app?”
“No, the online version.”
“You just said you can’t use cloud services like blob storage!”
“We can’t!”
“You’re using Power BI!”
“That’s different!”
“How?”
“Err…”