In your first example, you're getting command not found because you are running the python script using the shell, not python. You haven't shown how you are running it so I'm not sure what's going wrong, and I'm not familiar enough with the app to guess how it is intended to be invoked.
In your first comment, you appear to be running a python script which expects to run in the Splunk environment, using splunk modules. However, it is being invoked with (presumably) the system python and certainly without the PYTHONPATH. Please try /opt/splunk/bin/splunk cmd python /opt/splunk/etc/apps/Splunk_TA_nessus/bin/nessus2splunk.py ... although I'm still not familiar enough with the app to know if that will produce the desired results.
In the second comment, it seems you have the script set up as a scripted input. It is complaining that /opt/nessus/input does not exist. Does it? The error message's guess that $SPLUNK_HOME may not be set is implausible here, as splunkd will set $SPLUNK_HOME before launching the script.
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