How we'd override "pass" boggles my mind. Same for break and continue, and mostly raise (though you have control over the exception hierarchy).
del can be modified to some extent by changing the "del" double-underscore method of the target. import can be modified in several ways, which is how the zipimport is implemented (not an atomic capability). if, while, and try are effectively atomic, but "for" loops can be redefined by defining an iterator, and with is specified entirely in terms of an interface that allows you to affect what it does too.
Personally, I don't think the right way to phrase it is as "everything is first-class in Python", though. I see it as "when the language designer wants to put a capability into the language, like, say, importing from zip files, instead of hard coding it into the interpreter, an interface is coded into the interpreter that anybody can use", which unfortunately I don't have a snappy word on hand for. Looking over the history of Python you can even see this evolving, with the increasing openness of "import" and metaclasses being the most obvious examples.
"Everything is first class" would lead you to something like Lisp macros, which Python eschews. (For better and for worse.) However, I for one would wish more languages would learn the Python lesson above; it's so frustrating to me when I see a language implement something like "import from a different source" but still give you no way to use this new capability yourself. If it's convenient and powerful to you as a language designer, it'll be even more convenient and powerful in the hands of all your users.