It's possible to use VBA in conjunction with Power Query to work with large datasets. Power Query, allows you to connect to and transform data from various sources, including very large files.
You can use VBA to automate the process of connecting to and transforming the data using Power Query. This can be done by using the Excel Object Model in VBA to programmatically control the Power Query functionality.
It is important to note that although Power Query can handle large files, the performance of VBA code on large datasets may be slow and in some cases, it is recommended to use other more efficient tools like R or Python.