How to install the lanyard on the AirPods Pro case:

To install the lanyard on the AirPods Pro case:

1. Locate the metal holes on the right side of the AirPods Pro charging case.
2. Take the lanyard and thread the thin gray strap through the holes on the case.
3. Once the thin strap is inserted fully in to the holes, thread the thicker strap through the thins strap's loop.

Ref: https://www.youtube.com/watch?v=euGUAC_Wgh0