Add Script tag in Gatsby

2022 update

Since the release of the Script Gatsby component (powered by Partytown) it's much easier adding third-party scripts. Just:

import React from "react"
import { Script } from "gatsby"

function YourPage() {
  return <Script src="https://my-example-script" />
}

export default YourPage

From what is extracted from Gatsby documentation about using client-side packages/librares. I would suggest the following.

With React (and also with Gatsby) you can easily achieve this by using <Helmet> tag. Basically, it allows you to put <scripts> (or other metadata) in any component which will be placed in the <head> once compiled. So, in your case:

    import React, {useEffect} from "react"
    import Helmet from "react-helmet"
    
    import Layout from "../components/layout"
    import SEO from "../components/seo"

    const AnyPage = () => (
    useEffect(()=>{
    var DGPkey = "M3E2cGU5d1hPQWl2VTRTeG9ZYU8xa0l1YW8yMWVmR3FKbFFjMGNLNllIbz0=";
    var DGPnativerequest = "0";
    var DGPdelay = "10000";
    var DGPmtype = "overlay";
    var DGPtheme = "13e3b4";
    var DGPtitle = "!!!  !!!";
    var DGPmessage = "!!!  !!!";
    var DGPallowbutton = "";
    var DGPrejectbutton = "";
    var DGPbgimage = "";
    var DGPinpageads = "0";
},[])
        return <Layout>
          <SEO title="AnyPage" />
          <Helmet>
            <script src="//cdn.digitalpush.org/lib.js"/>
          </Helmet>
        <div>Dummy content</div>
        </Layout>
    )
    
    export default AnyPage

You can find more information about <Helmet> tag and its usage in their documentation.

Here's a screenshot testing in my local machine: