Are there any way we can connect Azure synapse using Private link from Power BI dataset ?
The Power BI community is active on a different forum, and for further help on this issue I suggest asking there: https://community.powerbi.com/
The same links you use to connect to your sql pool or storage private links should work while you are running Power BI Desktop assuming the machine has access to the endpoint.
Within the Power BI service, it depends on whether or not your workspace is on Premium or not. If not, the only option currently is to install the On-Prem Data Gateway from a machine that has access- either from your on-premises network or a VM within the vnet.
If you are on Premium, Synapse is one of the supported services for the VNET data gateway preview feature: https://docs.microsoft.com/en-us/data-integration/vnet/use-data-gateways-sources-power-bi
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