I was able to connect it similar to @Sean Wood suggestion, but the performance wasn't that good.
If you need further assistance with M (Power BI programming language), here is a step by step documentation on how to do it:
https://community.fabric.microsoft.com/t5/Desktop/JIRA-amp-PowerBI/m-p/329154/highlight/true#M147021
Recommended Learning For You
Level up your skills with Atlassian learning
Learning Path
Improve user experience across Jira with global settings
Learn how to set up and configure a Jira site, manage Jira permissions, and configure Jira apps and integrations.
Learning Path
Streamline projects across Jira with shared configurations
Build Jira work items with reusable configurations called schemes, and reduce administrative work with automation.
Learning Path
Become an effective Jira software project admin
Set up software projects and configure tools and agile boards to meet your team's needs.