This should do the trick in this particular case:
hdr_cells[0].paragraphs[0].add_run('Name').bold = True
Or, step by step:
col_names = ('Name', 'Surname', 'Telephone')
table = document.add_table(rows=1, cols=len(col_names))
hdr_cells = table.rows[0].cells
for idx, name in enumerate(col_names):
paragraph = hdr_cells[idx].paragraphs[0]
run = paragraph.add_run(name)
run.bold = True
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