For loading raster files, GDAL library is used.

Firstly, download the data.

Then, get the path of the raster file:

uri = "D:/Python_QGIS/data/dem_subset.tif"

Now add the layer

The format is:

rlayer = iface.addRasterLayer(data_source, layer_name, provider_name)

rlayer = iface.addRasterLayer(uri, "my_raster", "gdal")