This could probably be done in the init file so that it is checked everytime the module is imported. Something like the following:
# Check the GDAL_DATA environment variable
if "GDAL_DATA" not in os.environ:
raise Exception('The GDAL_DATA environment variable is not set\n')
elif not os.path.isdir(os.getenv("GDAL_DATA")):
raise Exception(
'The GDAL_DATA environment folder does not exist:\n'
' {}'.format(os.getenv("GDAL_DATA")))