The most straightforward way of doing this is adding an iframe to the page using the AppStore app ‘Iframe’.

• Have your PowerBI tool expose the report(s) that you want to integrate into you Mendix app, for instance ‘Reportxyz’;
• Download ‘Iframe’ to your project;
• Add the iframe widget to a page;
• Create an entity called Iframe with an attribute ‘URL’; 
• Set the data source of the widget to a datasource-microflow, logically named DS_Iframe_CreateForReportxyz;
• Have the DS_Iframe_Create create an object of entity Iframe and set the attribute URL to the Url ‘Reportxyz’;

Of course this has the known disadvantages of an iframe:

• not responsive, so no scaling of the iframe window to match the available space;
• separate authentication, so your user might need to give her credentials again. This is no problem if your app and the PowerBI app both are using SSO;
• no (direct) interaction between the Mendix app and the PowerBI app

If those drawbacks are a showstopper for you, then you will need to create your own widget.

Pictures say more than a thousand words:

And the datasource microflow: