If you google images of covered courtyard, you get many images like this:
Many of these images show an area between two large buildings, with a latticed glass roof. Maybe this is enough to convince you that covered courtyard works as a description.
More specifically, such a glass-covered courtyard is called an atrium, which is probably why this word sprang to your mind. Many of the spaces depicted in the linked images might be called atriums.
Further, if you google "atrium between buildings" you get many results which depict spaces like the ones you describe. This should convince you that atrium is, if not the perfect word, a very good one.
The following photo, for instance, shows an atrium between the IMBIBM Building and Trump Tower: