After I created the .env in the root of the React folder
REACT_APP_API_KEY=gzomlK5CKLiaIWS....
I also downloaded the .env NPM library
I still got undefined in the API file, what I am missing
import React, { useState } from "react";
import axios from "axios";
import "./Api.scss";
require("dotenv").config();
console.log(process.env.REACT_APP_API_KEY);
I totally forgot to restart the terminal, it is working now. I think restarting the terminal was the issue.