You would have to install the Mendix Client API via NPM. Did you do that? Also add the mendix-client to your tsconfig file, like below:
{
"extends": "./node_modules/@mendix/pluggable-widgets-tools/configs/tsconfig.base.json",
"compilerOptions": {
"jsx": "react",
"types": [ "mendix-client" ],
"lib": [
"es2017",
"dom"
]
}
}