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Currently the ability to connect directly to SharePoint files that aren't hosted locally is not built into the product. To show your support for this enhancement, I recommending voting on Sharepoint list as a datasource. The Tableau development teams uses the votes on the Ideas to help prioritize new enhancements for feature releases.
Some people have had success using the OData connector to connect to SharePoint: Connect to SharePoint Lists with OData
I hope this answers your question!