It seems like Python 2.7 is inaffected by the bug:

static int
BZ2File_init(BZ2FileObject *self, PyObject *args, PyObject *kwargs)
{
    ...
#ifdef WITH_THREAD
    if (!self->lock) {
        self->lock = PyThread_allocate_lock();
    }

    if (!self->lock) {
        PyErr_SetString(PyExc_MemoryError, "unable to allocate lock");
        goto error;
    }
#endif
    ...
}

I fixed the leak in Python 3.6, 3.7 and master. I close the issue.