I made a python program using PyGame which is only available for Python 2.7 so that is my python version. I am using Anaconda because it is easier to install modules and to
Instead of using py2exe you could try to build your executable with pyinstaller.
http://www.pyinstaller.org/downloads.html
The PyGame package is also supported with pyinstaller according to this link
https://github.com/pyinstaller/pyinstaller/wiki/Supported-Packages