You cannot do this with Power BI. Power BI via Power Query can combine files in a SharePoint library, but not attachments in a list. You may be able to use Power Automate to cycle through the list and extract the attachments and save them to a folder (library) for consumption. If that is possible, you'd need to control the Power BI refresh from Power Automate so it only ran after the folder was populated. You should check out Microsoft Power Automate Community - Power Platform Community if you want to head down that path.
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DAX is for Analysis. Power Query is for Data Modeling