Looks like I have finally found the way:

import pulumi
from pulumi import ResourceOptions
from pulumi_azure import core

# Resource group
resource_group = core.ResourceGroup("rg", name="Existing-RG", location="West US", opts=ResourceOptions(import_="/subscriptions/foo123-456-789-012/resourceGroups/Existing-RG"))

May I ask still somebody more experienced to check it and tell me, I am not doing it wrong? Thank you