Power Query Connection to Excel PowerPivot Data Model

TL;DR

We can connect almost any data source in Power Query, but PowerPivot data model is not included in that extensive list of sources out of the box.

But with the help of the fabulous DAX Studio we can do it (although in my opinion it is still inconvenient and tricky) at least locally – from the same workbook in Excel or from Power BI Desktop.

All you need is to open your Excel workbook, run DAX Studio add-in and connect it to this workbook. Then you can just connect to the PowerPivot model as to SQL Server Analysis Services cube.

But this is an undocumented and extremely limited feature not supported by Microsoft, which can only be used under your own risk.