Can I connect to my salesforce instance from Data Management Gateway ?
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In theory, maybe. See this link for supported data sources: https://support.office.com/en-us/article/Supported-Data-Sources-and-Data-Types-cb69a30a-2225-451f-a9...
Since it supports Power Query, if you can connect to your Salesforce via Power Query with something like an OData feed or Salesforce Objects or Salesforce Reports, then maybe.
I say maybe because there are also supported authentication types buried in that link.
The new Power BI Preview connects to Salesforce, there is a content pack for it so you might want to start looking down that route as my understanding is that everything is headed that way.
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