Link data from multiple sharepoint excel docs

It's possible. How, would depend on your Office 365 subscription licensing level.

1. If you have ProPlus, you can simply query the folder and merge files into one. Article in the link is for PowerBi, but same steps apply for ProPlus.
https://powerbi.microsoft.com/en-us/...epoint-folder/

2. If you don't have ProPlus, there is no connector made available for SharePoint folder and will get authentication error using above. If this is the case, you'll have to make connection to individual files using "From Web" connector. Each file must have appropriate share permission set in order for you to access it. Once connection is made to each file. Then merge them all into single table in the query editor. If any new files are added to folder, you'll need to add connection to that file manually and add to merge steps (or write custom function to do this in "M").