arcpy module is in a licensed package which comes with ArcGIS Desktop or ArcGIS Pro installation and not available for ArcGIS API for Python by default, that's why you can't import it.
If you launch your Jupyter notebook server from your ArcGIS Pro env, you should not run into this problem.
Hope it helps.
I was able to use it before on the same notebook, I think something happened after esri upgraded to Pro 2.2
The same thing happened with me when I upgraded from 2.1 to 2.2. and I was able to fix it by cloning the env.