Asking for advice: Leaving Academia after finishing Physics PhD - Hoping to start a career in Data Science right after

There actually is sufficient demand for data scientists and engineers that there are specific 7-8 week long postdoctoral training programs. Such a program could be a good idea, both as a way to build skills and to show that you've actually completed a relevant project. I have no first-hand experience myself, but I know a former physics postdoc who successfully attended the (free) Insight Data Engineering program and now works as a data scientist. (They also have a program focused on data science.) Another such program is The Data Incubator, and I imagine there are more out there.