How do I specify API key in PowerBI data source creation?

Rest Newb here, besides some transient security issues for some people, we have successfully enabled REST in a few spreadsheets.

I am now trying to set up a data source in PowerBI which pulls a BAQ.
I set up an access scope with one BAQ:
image

Then made an API key:

Then went to PowerBI Desktop

When I try to specify the API key, it says API key can only be speicified when a web API key name is provided.

How do I specify the API Key? I have read the rest novel.

You need to use Web instead of odata so you can specify your api key in the request headers