Unfortunately you cannot connect the SAP BW for the moment as the product is brand new.
But this does not mean it won't happen as Prep is being actively worked on and improved.
Please stay tuned, and check the releases notes of future versions as this might come in the future.
You can also voice, your wish to see this feature added in our ideas section :
It past over 1 year since your last answered, but is it possible now, 2019? Lately I asked Tableau Technical Support, and I knew Tableau Prep doesn't have the connector to BW and any cases connected to BW with ODBC drvier. Do Ciaran or any others have the case connected to BW before? If have, please let me know the way.