Benassi,
Within Cloudera Data Science Workbench you should be able to use almost any Python, R, or Java library you want. While we have not tested and do not support Apache Phoenix directly, you should be able to access it from within a session using the same methods you would on your local laptop. For instance, Phoenix has a Python client library here:
https://phoenix.apache.org/phoenix_python.html
You could also likely use the JDBC driver from R, Python, and Scala engines using your favorite database library.
Best,
Tristan