Hi Wayne -
You're correct that the "Connect" permission is implicitly denied to the Guest user. However, you'll only need the "View" permission on a data source leveraged by a report which "Guest" needs to view.
So, if you make sure the Guest user has "View" on the report and "View" on the data source, you should be good.
Hope this helps?
Thanks, Russell -- That tells me everything I need to know.