Currently, it is not possible to totally meet your demand on the work item query in Azure DevOps.
There is a workaround that can be very close to your demand. On the query, you can select "Work items and direct links" as the Type of query. Then under "Type of query", select 'Parent' and 'Predecessor'.
With this method, the query result will return the linked parent item and predecessor items. However, the result will show as:
Task A
User Story <--- Parent
Task B <--- Predecessor
NOT
User Story <--- Parent
Task A
Task B <--- Predecessor

If you really need this feature, I recommend you try to report a feature request here.
[UPDATE]
Sure, you can open the query on Power BI directly from the query editor page on Azure DevOps via the Open in Power BI extension.
- Install the Open in Power BI extension from Marketplace to your Azure DevOps organization/collection.
- Open the work item query in your project on Azure DevOps.
- Click on the "More actions" menu icon.
- Then you can see the option "Open in Power BI" from the menu. Click it to open the current query in Power BI.

For more information, you can reference the document "Extensions and manage queries".