How do I "Correctly" include a Python.h header in my C++ program in VSCODE?

My Environment:

1- MacOs catalina.

2- VScode "Visual Studio Code"

3- PlatformIO extension (for Arduino Development in C/C++) mainly C++

4- Python3 and Python2 are both installed on my mac.

The Problem:

I was trying to embed a python application called "" into my C++ application but I'm getting this error when hovering on the #inclde <python.h> squiggly red line:

#include errors detected. Please update your includePath. Squiggles are disabled for this translation unit (/Users/ImCodeName7/Documents/PlatformIO/Projects/speech_recognision/src/main.cpp).C/C++(1696) cannot open source file "python.h"C/C++(1696)


#include <Arduino.h>
#include <python.h>

int main()
    char filename[] = "";
    FILE* fp;


    fp = _Py_fopen(filename, "r");
    PyRun_SimpleFile(fp, filename);

    return 0;

Please note I am still learning how to configure my environment so please bear with me. Thank you!

Edit1: The source file is mainly written in C++ (Or known as Arduino C actually!)