I have a very specific issue and I wanted to ask if this is supported yet and if there are any workarounds.
I have created a custom data connector and added that to a Personal On-Premise Gateway so it can be refreshed in Power BI Service. (This works great and I'm really looking forward to when this is possible on the non-personal gateway.)
I then created a report in Power BI desktop which used both my custom connector and a SharePoint hosted Excel file as a data source (specifically choosing "Web" when getting the Excel file and just providing the full URL to the file in SharePoint.)
Publishing this report to Power BI Service online also works - I can refresh the dataset associated to the report, and it refreshes both the SharePoint file's data and the data from my custom connector.
Finally, I created a table in Power BI Desktop through the query editor with Power Query that joins the two tables together on a column like this: