There is no current support for running a python script like there is for vbscript that I know of as Setin Asmul noted in his comment.
There are some convoluted ways of running a custom action and directly extracting a binary out of the MSI database and executing it but a simpler way would be to just make a custom action dll and include the script in the self-extracting package created during the build process.
You can use the CustomActionContents property to include your python script as a file needed by the custom action dll. When you run your custom action the CA.dll package is extracted into a temporary location and the custom action is run. Since the python script was added as a CustomActionContents file it will be in the same temporary dir as the custom action dll so you can run it from there.