Connect To Multiple PowerBi Online Workspace Datasets in one Desktop Report?

[UserIsGod]

Hi there, 
I am trying to connect multiple PBI online datasets to my one desktop report. 

However, when I go to Get Data> Power BI Datasets, I am only allowed to use one and if I try to add more, I get this message. 

Do I have to enable something to get multiple? Or is there a workaround?

Thanks! 

[vicky_]

You'll have to add a local model (click the green button) to add more than 1 datasource.

[UserIsGod]

That doesn't work, it only lets me choose one dataset at a time.