Hi @Matthias_Schniz ,
if I recall it correctly Power BI has added Python some time ago. Then you can use just a private app together with Python to do requests to the APIs. I am using this to do reporting with a Jupyter Notebook and it works like a charm. That should transfer to Power BI.
to create a private app is matter or minutes, see https://help.shopify.com/en/manual/apps/private-apps.
I can send you a Python example in a private message to get you started.