I feel that whenever I attempt something with code, nothing ever just works. There’s some bug or some roadblock that has to be overcome. Apparently, that is the case with embedding CodePen.io!
Drupal 8.6.0 added oEmbed support for media! Out of the box, only remote video providers Vimeo and YouTube are supported. But a quick hook implementation exposes more providers. The providers are based on a repository provided by the oEmbed website. The repository is here: https://oembed.com/providers.json