Datasets that include a query that merges data coming from a web data source on one side and another set of data coming from an on-Premises data source can't be refreshed using the On-Premises data gateway.
Error messages depend on the kind of the web data source. For example:
Sharepoint Online List: "The credentials provided for the SharePoint source are invalid"
Excel in Sharepoint Online (Web Connector): "SharePoint: Request failed: https://[...]"
I tried to merge data
from On-Prem Oracle with SPO List
from On-Prem Excel with SPO List
from On-Prem Excel with Excel in Sharepoint Online (Web Connector)