I am completely ignorant about Python, but if it can call DLLs then it ought to be able to use Microsoft's ADOMD object. This is the best option I can think of.
You could look at Office Web Components (OWC) as that has a OLAP control than can be embedded on a web page. I think you can pass MDX to it, but perhaps you want Python to see the results too, which I don't think it allows.
Otherwise perhaps you can build your own 'proxy' in another language. This program/webpage could accept MDX in, and return you XML showing the results. Python could then consume this XML.
