Was able to get the MongoDB Bi Connector to work.
Instructions:
Connecting to Tableau requires the installation of "MongoDB BI connector" suite and starting the mongosqld daemon.
The set of instructions to install and configure mongosqld deamon are described at https://www.mongodb.com/tableau?jmp=tbl.
To connect mongosqld to a CosmosDB account, use the following command line instead of the one mentioned in the above documentation
mongosqld.exe /mongo-uri:"mongodb://.documents.azure.com:10255" /mongo-username: /mongo-password:"" /mongo-ssl /mongo-sslAllowInvalidCertificates /mongo-minimumTLSVersion:TLS1_2 /auth /mongo-authenticationMechanism:PLAIN /sslPEMKeyFile:https://www.mongodb.com/tableau?jmp=tbl> /sslMode:requireSSL /defaultAuthMechanism:PLAIN
All the variables marked as <> (with the exception of sslPEMKeyFile) are listed in the Connection String page for your account in the Azure Portal
Once the MongoSQLD instance is started, start your Tableau client, select "MongoDB BI connector" and configure the USERNAME/PASSWORD as follows:
[1]: https://i.stack.imgur.com/lpyPK.png
(replace the location to ca.crt as generated using the key_cert_gen.sh script in https://www.mongodb.com/tableau?jmp=tbl )
Click on OK and "Sign In" and you should be able to access your MongoDB collections.