Secure Power BI Web App

We have installed PowerBI Gateway in our VM which is secured by firewall. The PowerBI Web Interface will be accessed by an external vendor, and the data to the PowerBI will be served by the external vendor. In other words, PowerBI in one domain will be connecting to the Azure SQL PaaS DB in another external domain.

Power BI which we are hosting in our domain will be accessed by the external vendors.

Since, Power BI is a web application, how can we apply security measures? Can we use web application firewall? We are already using Fortigate firewall. Any pointers specific to securing Power BI would be helpful.

Thanks!