New on-premises gateway & mixed on-prem and cloud data sources

Using the new On-Premises gateway, has anyone been able to successfully setup such a report that uses both on premises databases and Excel files hosted in SharePoint Online? Everything works fine in Desktop but when published to Power BI Service we are unable to attach the report to the gateway if the report contains a connection to SharePoint Online (with DB connections, it works fine). If we remove Excel (SharePoint Online) references from the report, gateway option is visible in the dataset Gateway connection settings. If we add them back, gateway option disappears.

We are able to get the thing working by hosting the file in a server that can be connected using the gateway (file connection is configured to the gateway settings), but how are we able to use SharePoint Online as a data source successfully as we need to have version control etc.