Is it possible to use a 12V 3,35A power supply to power a 20V 2,5A device?
A 12 volt power supply capable of providing 3.35 amps can deliver a power of 40.2 watts (assumed continuously). A load that takes 2.5 amps from a 20 volt supply requires a power of 50 watts.

Therefore a 40.2 watt power supply will never be able to continuously deliver the power required by a device that wants to consume 50 watts.


  The device works with that power supply (adapter)


Then it isn't consuming 50 watts when you determined it worked.


  but will it make any damage to the device or even worse (blow out or
  something like that)?


It all depends on the circuitry details for power supply and device.