Explanation
For an on-premises database, identify a data gateway that was shared with you (or create one).
Specify Connect using on-premises data gateway, type or paste the server name, the database name, the user name, and the password for the database that you want to use, and specify the authentication type and the gateway.
Reference:
https://docs.microsoft.com/en-us/powerapps/maker/canvas-apps/connections/connection-azure-sqldatabase