Go into File ? Settings ? Project Settings ? Project Interpreter.
Then press configure interpreter, and navigate to the "Paths" tab.
Press the + button in the Paths area. You can put the path to the module you'd like it to recognize.
Open the python interpreter where you can import the module.
>> import gnuradio
>> gnuradio.__file__
"path/to/gnuradio"
Most commonly you'll have a folder structure like this:
foobarbaz/
gnuradio/
__init__.py
other_file.py
You want to add foobarbaz to the path here.