ExpressRoute connectivity for on-premises data gateway for PowerBI

Does anyone know how I can configure the on-premises data gateway for PowerBI to use an existing ExpressRoute instead of connecting to PowerBI over the Internet. Here is what I know. In order to use the ExR we will need to setup Microsoft Peering to connect to MS services like PowerPlatform. However, I'm not interested in clients connecting to PowerBI through the ExR but just to make sure the Data GW doesn't send data over the Internet. How can I configure the routing of the Data GW to only communicate over the ExR. I've posted this question in the PowerBi community but I thought I would widen the audience to Azure pros.