Environment variables in La Clojure REPL

Hi, I get a:

java.awt.HeadlessException:
No X11 DISPLAY variable was set, but this program performed an operation which requires it. (NO_SOURCE_FILE:0)

if I evaluate (new javax.swing.JFrame) in the REPL

This doesn't happen if I use a normal REPL. I am in Linux and I have multiple screens.
I read another thread here that indicated it was possible to use with-sh-env to set environment variables, as I suspect I need to do something like export DISPLAY=:0.0

am I close ?