Definitely, yes, Power BI Online is able to connect Azure Cosmos DB (Formerly DocumentDB) in a number of different ways:
Azure Cosmos DB Connector
Available in Power BI Desktop for importing data directly.
For an automatic update, use DirectQuery mode.
Publish to Power BI Service using a gateway to schedule a refresh.
ODBC/Custom API:
Use the Azure Cosmos DB ODBC Driver to connect.
Alternatively, please set up a REST API or Azure Function to get data and push it to Power BI through a Streaming Dataset.
Best Practices and Limitations:
Performance: Optimize your queries so you will not overrun the RU limit.
Data Refresh: Power BI Online needs an on-premises data gateway for scheduled refresh.
Security: Use Managed Identity or Service Principals for authentication