hello makins83 ,
The custom columns added to the Risks / Issues lists are not added to the ProjectData Reporting API in Project Server / Project Online, you will need to access these columns using the SharePoint APIs. I blogged about an approach a few years ago: https://pwmather.wordpress.com/2016/01/05/want-to-query-cross-project-site-sharepoint-lists-in-projectonline-projectserver-powerbi-powerquery-bi-office365-excel-ppm/
Alternatively you can push the SharePoint data to another source like Azure SQL Database then connect Power BI to the database, I blogged an example here: https://pwmather.wordpress.com/2020/04/07/want-to-report-on-projectonline-project-site-list-data-example-using-powerautomate-to-push-project-site-sharepoint-list-data-to-azuresqldatabase-powerbi-office365-ppm-lesscodemorepower/
Paul