Is there a way to set external lights to turn automatically off in Honda CRV 2009 when the ignition key is off?

Are you sure that you''re not trying to 'defeat' a safety and convenience feature built into the design by the manufacturer?? There's probably a delayed 'lights off' feature to allow the driver 20-30 seconds to get out of the car and get to their front door. Try testing this out next time by turning the ignition off and timing the duration the lights stay lit before they automatically turn-off by themselves.