Can't connect to Sharepoint subsites using PowerBI

[avelio]

Dears,

Currently i'm experiencing the following issue:

- My organization is keeping files on sharepoint.

- Im trying to use PBI to connect to our sharepoint files

- When i'm connecting to https://companyname.sharepoint.com/Site1/ it works just fine. The problem is that my data is stored into Subsites, so it goes something like this https://companyname.sharepoint.com/Site1/Subsite2.

- When i'm connectong to the subsite i get the following error: 

         Details: "Microsoft.Mashup.Engine1.Library.Resources.HttpResource: Request failed:
         OData Version: 3 and 4, Error: The remote server returned an error: (404) Not Found. (Not Found)
         OData Version: 4, Error: The remote server returned an error: (404) Not Found. (Not Found)
         OData Version: 3, Error: The remote server returned an error: (404) Not Found. (Not Found)"

- If i use GetData from PBI Web App i can connect to the Site (https://companyname.sharepoint.com/Site1) and browse from there our subsites and select the data.

Question: 

Why isnt this feature possible for PBI Desktop App?

Am i doing something wrong?

How can i connect the data from my subsites on sharepoint to powerbi desktop?

BR,

Andrei