Unfortunatelly, there is not such an easy thing as sa "trasnparent window" - althougmodern widnow managaers do have various opacity controls for the windows, those just affect the windows as a whole - and do not integrate at all with the program running "inside" the windows. There may even be, for some of them, a way to call functions to explicitly set up the opacity level of a given window, but I don't think it willbe possible for all of them.
That said, it is possible to get grab of the "root" window and draw directly on the screen - -bypassing the window manager. There are APIs for that at least on Windows and Linux (you have to mention in what operating system you need that working) - but it will amount to not a trivial research work, since this is not what is expected of a "well behaved app" - for which the GUI toolkits are written and documented. You will need to write xlib code in Linux, and directly call win32 api's on windows - both are possible from Python - as possible as under-documented.
And once you get to draw the rectangle, since you are bypassing the window manager, you willhave to care about every low-level detail of your app: mouse event handling, screen-redrawing (and notifying the system of drawing taking effect over other windows), and so on.