The Microsoft documentation for DirectQuery states the following:
When importing data, it is possible to combine data from multiple sources into a single model, for example, to easily join some data from a corporate SQL Server database with some local data maintained in an Excel file. This is not possible when using DirectQuery. When selecting DirectQuery for a source, it will then only be possible to use data from that single source (such as a single SQL Server database).
The documentation says that for DirectQuery only data from that single source can be used in the model. However, I thought with Composite models you could now mix DirectQuery and Import to bring data in from multiple sources.