Is there a way to connect a Microsft Project file to Power BI?
I don't think so. You are just able to connect to the MS Project Online service to monitor your project.
But there is no way to connect a .mpp file or a project from Project Server to a Power BI.
It is not supported now. You can vote this idea here to push it to be supported in the future.
We need .mpp to connect to PowerBi and a standard Content pack please