Я нашел ответ в официальной документации, как @jmcnamara предложил:
import pandas as pd
# Create a Pandas dataframe from some data.
df = pd.DataFrame({'Numbers': [1010, 2020, 3030, 2020, 1515, 3030, 4545],
'Percentage': [.1, .2, .33, .25, .5, .75, .45 ],
})
# Create a Pandas Excel writer using XlsxWriter as the engine.
writer = pd.ExcelWriter("pandas_column_formats.xlsx", engine='xlsxwriter')
# Convert the dataframe to an XlsxWriter Excel object.
df.to_excel(writer, sheet_name='Sheet1')
# Get the xlsxwriter workbook and worksheet objects.
workbook = writer.book
worksheet = writer.sheets['Sheet1']
# Add some cell formats.
format1 = workbook.add_format({'num_format': '#,##0.00'})
format2 = workbook.add_format({'num_format': '0%'})
# Note: It isn't possible to format any cells that already have a format such
# as the index or headers or any cells that contain dates or datetimes.
# Set the column width and format.
worksheet.set_column('B:B', 18, format1)
# Set the format but not the column width.
worksheet.set_column('C:C', None, format2)
Код выше взят из https://xlsxwriter.readthedocs.io/example_pandas_column_formats.html#ex-pandas-column-formats.