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A power company builds a generation plant of a certain size. That plant is going to run whether there is a data center or not. Maybe there is some incremental additional water usage if it is running at 85% capacity instead of 75% capacity but this is probably marginal compared to the plant running or not running at all.

Depending on the method of power generation, it might also need a certain consistent base load to run most efficiently, so adding in a data center that will be a consistent load running 24/7 could actually increase the efficiency.