Similar issue has been submited internal before(ICM: 219178130):
“The provider Microsoft.PowerBI.OleDb is not registered” is a more generic error, users can try that:
If PowerBI is being started from a desktop shortcut, try instead from the start menu (or directly double-clicking the EXE). If this successfully loads the query, then delete the existing shortcut and create a new one. It’s possible that the existing shortcut is opening PowerBI under the wrong permissions.