Direct connection to the D365 F&O (cloud) production database is a big no. That will never be possible.
You can certainly use CDATA to connect to F&O's ODATA interface, but that solution is only suitable if you need to consume data exposed via ODATA (E.G., no transactions). I assume you want transactions?
Depending on your requirements, you might be looking into implementing a data warehouse using something like this: https://learn.microsoft.com/en-us/power-apps/maker/data-platform/azure-synapse-link-view-in-fabric
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