An environment variable is either associated to a job or to the system. If it is set for the system, it will be set for every job. But if it’s set for an individual job, it will go away when the job goes away.
A user profile has an attribute named INLPGM() that names an “initial program” to be called automatically every time that user starts an interactive session. An initial program is intended to set environment attributes for a user.
Add the ADDENVVAR command to your initial program (or create your initial program). Your environment variable will then be set whenever you logon to a telnet session.