You need to set that value in the your "Data Source" creation settings, where you have all the other connection information like URL, userid, password etc.
We're using the embedded version of Teiid. Aren't you refering to the standalone version with the Data Source creation settings?
In that case in the embedded code, when you create the Impla connection, using the connection you need to execute "use <database-name" before you give the connection to Teiid. For example see here teiid-embedded-examples/TeiidEmbeddedPortfolio.java at master · teiid/teiid-embedded-examples · GitHub