There is an internal issue stating this problem that user is unable to connect to Project Online Content Pack, and engineer is working on this issue. I will post back once I get any updates.
Besides, as a temporary workaround for this issue, you can connect to Project Online using Get Data-> OData feed entry in Power BI Desktop following the instructions in this blog , then create your reports and publish them to Power BI Service.
Thanks, Lydia Zhang
Community Support Team _ Lydia Zhang If this post helps, then please consider Accept it as the solution to help the other members find it more quickly.