With Power BI, the OAuth client is maintained by Azure itself.

You will have to initiate the connectivity using Microsoft SSO, and on Snowflake, you will have to create an external OAuth for Power BI.

The link mentioned the steps you shall have to follow.

https://docs.snowflake.com/en/user-guide/oauth-powerbi

If you are creating multiple clients for different applications on Azure, then you might get into error creating a new security integration, as Snowflake does not allow creating a security integration with the same issuer.

In that case the following article will be helpful: https://community.snowflake.com/s/article/Solution-Connect-to-Snowflake-From-Power-BI-Using-SSO-When-There-Is-An-Existing-OAuth-Integration