I am having the same issue. To add some more info, if I log onto the system and run python 3 (system version not splunk) the script works fine. When I try with using Splunk I get ssl errors. Here is a cut from the error output:
Traceback (most recent call last):
File "/opt/splunk/lib/python3.7/site-packages/urllib3/util/ssl_.py", line 322, in ssl_wrap_socket
context.load_verify_locations(ca_certs, ca_cert_dir)
FileNotFoundError: [Errno 2] No such file or directory
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