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According to the documentation at https://doc.sagemath.org/html/en/reference/databases/sage/databases/odlyzko.html, you "need to install the optional Odlyzko database package" using the command

sage -i database_odlyzko_zeta

According to the documentation at https://doc.sagemath.org/html/en/reference/databases/sage/databases/odlyzko.html, you "need to install the optional Odlyzko database package" using the command

sage -i database_odlyzko_zeta

This should work for your local Sage installation. Searching for "database_odlyzko_zeta" in the search box at cocalc.com provides some instructions, but I don't know how useful they are — I haven't tried them. You could contact the cocalc support team at https://cocalc.com/support/new to request that they install the database.