For who finds this, a sollution I found for databricks:
import os
# Set the API credentials as environment variables
os.environ['CDSAPI_URL'] = 'https://cds.climate.copernicus.eu/api/v2'
os.environ['CDSAPI_KEY'] = 'your_api_key_here'
Make sure to use the correct API key you find on How to use the CDS API | Copernicus Climate Data Store