I tried out connecting to On-Prem data source from Power BI Preview tenant in Office 365 and got it working. So sharing some tips on the areas where I needed to double check or sought help.BTW , the steps that I followed to get it working are at http://office.microsoft.com/en-us/power-bi-admin-center-help-HA104078330.aspx
(1) To get to Power BI admin center, use the Admin ->Power BI link at the top of your Power BI site.
Alternatively you can there with the below url https://<yoursiteurl>.itadmin.clouddatahub.net/Note: this is different from the O365 admin site or SharePoint admin center.
(2) The data source name is case sensitive and should match exactly what’s in the excel workbook and the one registered in Power BI Admin center.
(3) For the manual refresh to work, you need to get the data into PowerPivot model in the workbook. If you get the data to regular excel sheet and then create a PV sheet based on the excel content, then refresh doesn’t work. So make sure , when you create the workbook the data is pulled into PowerPivot directly using external connection and power view is created based on this PowerPivot mode.