I leave the solution in case someone needs it:
-----BEGIN RSA PRIVATE KEY-----
(Your Private Key: your_domain_name.key)
-----END RSA PRIVATE KEY-----
-----BEGIN CERTIFICATE-----
(Your Primary SSL certificate: your_domain_name.crt)
-----END CERTIFICATE-----
-----BEGIN CERTIFICATE-----
(Your Intermediate certificate: SectigoRSA.crt)
-----END CERTIFICATE-----
-----BEGIN CERTIFICATE-----
(Your Root certificate: USERTrustRSACertificationAuthorityCARoot.crt)
-----END CERTIFICATE-----
1 .key
2 domain.com.crt
3 SectigoRSADomainValidationSecureServerCA.crt
4 USERTrustRSAAAACA.crt
Open the 4 files and paste the 4 texts in a single file and place it as a .pem extension
This would be the combined.pem
Then we change the extension to the AAACertificateServices.crt file for .pem
This would be the fullchain.pem
We already have the two .pem files
We create the folder /etc/letsencrypt/live/pihole.example.com/
pihole.example.com would be the name of our domain.
With permissions rw-r--r-- (0644)
We copy the .pem files that we create in this folder.
sudo chown www-data -R /etc/letsencrypt/live
We open /etc/lighttpd/external.conf
pihole.example.com would be the name of our domain.
sudo service lighttpd restart
If I did something wrong, they correct me, thank you.