Nothing has changed in GTK4: there’s still the GTK_THEME environment variable. If it’s not working then it means your theme does not support GTK4, or the theme isn’t found.
If you’re setting a theme for your own application, I would recommend loading the CSS directly with a GtkCssProvider applied to the default GdkDisplay, instead of using environment variables; this way, you can ship your theme embedded into a GResource, and ensure that it is always available.