Most of the time when dealing with async/await methods, I find it easier to turn the problem around, and use functions (Func<...>) or actions (Action<...>) instead of ad-hoc code, especially with IEnumerable and yield.

In other words, when I think "async", I try to forget the old concept of function "return value" that is otherwise so obvious and that we are so familiar with.

For example, if you change you initial sync code into this (processor is the code that will ultimately do what you do with one Data item):

public void Read(..., Action<Data> processor)
{
    using(var connection = new SqlConnection(...))
    {
        // ...
        while(reader.Read())
        {
            // ...
            processor(item);
        }
    }
}

Then, the async version is quite simple to write:

public async Task ReadAsync(..., Action<Data> processor)
{
    using(var connection = new SqlConnection(...))
    {
        // note you can use connection.OpenAsync()
        // and command.ExecuteReaderAsync() here
        while(await reader.ReadAsync())
        {
            // ...
            processor(item);
        }
    }
}

If you can change your code this way, you don't need any extension or extra library or IAsyncEnumerable stuff.