assuming that you have un report with a parameter "vParam", and you will open the report on the service using the url filter :
URL?filter=Geo/Country eq "USA".
I'm wondering if it's possible the get the value "USA" to pass it to my parameter. and then i'll use it in to my PowerQuery.
Any idea about this ?
I'm afraid there is no better way to do that. Here is the document about Filter a report using query string parameters in the URL for your reference.