By definition of the relative topology, if $U$ is open in $H^n$ it exists an open subset $V$ of $\mathbb R^n$ such that $U = V \cap H^n$. If $U$ is not empty, it exists $x \in U$. Therefore $x \in V$ and it exists an open ball $B(x,r)$ centered on $x$ with $B(x,r) \subseteq V$.
If $x=(x_1, \dots, x_{n-1}, 0)$ then $B(\bar x, r/4) \subseteq B(x,r) \subseteq U $ where $\bar x = (x_1,\dots,x_{n-1}, r/2)$. And if $x=(x_1, \dots, x_{n-1}, x_n)$ with $x_n >0$ then $B(x, \bar r) \subseteq B(x,r) \subseteq U $ where $\bar r = \min(r, x_n/2)$. Proving that the interior of $U$ is not empty.
Here, the main argument is that for an open ball $B(x,r) \subseteq \mathbb R^n$ we have $B(x,r) \cap H^n = B(x,r)$ for $r$ small enough and $x_n >0$.
This is not related to the fact that $H^n$ is convex. For example $L= \{(x,0) \mid x \in \mathbb R\}$ is a convex subset of the plane $\mathbb R^2$. $I= \{(x,0) \mid x \in (0,1)\}$ is an open subset of $L$. However, the interior of $I$ is empty in $\mathbb R^2$.