Hi, that’s a great question
Personally, I have never used an HDRI in studio but I don’t think you can directly import a .hdr file, so I’m assuming you’d have to use skybox. If you’re interested in learning about that I’d have to redirect you to this tutorial since that’s basically an entirely different subject that I know virtually nothing about.
If you were to use a render from blender in studio though, you would upload it to Roblox as a decal and utilize it as such in Roblox studio.