var engine = Python.CreateEngine();
var scope = engine.CreateScope();
scope.SetVariable("__name__", "__main__");
var scr = engine.CreateScriptSourceFromString("print __name__", SourceCodeKind.Statements);
scr.Execute(scope);
и из файла:
var scr = engine.CreateScriptSourceFromFile(fname, Encoding.UTF8, SourceCodeKind.Statements);