It's possible to execute an R script within an M query as part of a data transformation process.

As shown in the following image, the Run R Script is available on the Transform tab of the Power Query Editor in Power BI Desktop:

To execute the R script in Power BI Desktop, R needs to be installed on the local machine as well as any R packages used by the script. Most importantly, for the R script to work properly when the dataset is published to the Power BI service, the privacy levels for the data sources need to be set to Public. For most organizations, this limitation rules out the use of R scripts for data transformations in Power BI. Additionally, the presence of R scripts adds another layer of complexity to a solution that already includes SQL, M, and DAX.