Python needs an ld.so and libc (minimally) but not a shell or other external utilities. Shebang scripts are loaded by ld.so, not the shell.
https://github.com/torvalds/linux/blob/master/fs/Kconfig.bin...
config BINFMT_SCRIPT
tristate "Kernel support for scripts starting with #!"
default y
help
Say Y here if you want to execute interpreted scripts starting with
#! followed by the path to an interpreter.No personal attack intended, I am wondering this about my own embedded product which contains Python.