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First, select the MySQL option when creating a new data source. Then once you've entered your credentials to connect to your database you'll be seeing the Data Source tab, where you can double click on New Custom SQL and then paste your SQL query. Once you've saved it as live connection or extract, your data source will be created.
Remember to delete the semicolon character ( ; ) at the end of your query as Tableau doesn't accept it.
Thanks! That certainly solved the problem.
I wonder if there is another way build this ? Using Tableau joins.