Hi! python 3.4.3, pymysql 0.6.7 and 0.7.1, mysql 5.5.23 and 5.5.4x
Can't connect to mysql with ssl option.
With mysql workbench and with mysql-client secure connection works fine.
I have tested it on two mysql servers on debian and windows

Here is code and explanations

make certs

openssl genrsa 2048 > ca-key.pem; \
openssl req -sha1 -new -x509 -nodes -days 3650 -key ca-key.pem > ca-cert.pem; \
openssl req -sha1 -newkey rsa:2048 -days 730 -nodes -keyout server-key.pem > server-req.pem; \
openssl x509 -sha1 -req -in server-req.pem -days 730  -CA ca-cert.pem -CAkey ca-key.pem -set_serial 01 > server-cert.pem; \
openssl rsa -in server-key.pem -out server-key.pem; \
openssl req -sha1 -newkey rsa:2048 -days 730 -nodes -keyout client-key.pem > client-req.pem; \
openssl x509 -sha1 -req -in client-req.pem -days 730 -CA ca-cert.pem -CAkey ca-key.pem -set_serial 01 > client-cert.pem; \
openssl rsa -in client-key.pem -out client-key.pem;

user create

CREATE DATABASE dbname;
GRANT ALL PRIVILEGES ON dbname.* TO 'u1'@'%' IDENTIFIED BY '12345' REQUIRE SSL;
FLUSH PRIVILEGES;

code

from __future__ import print_function
import pymysql

#conn = pymysql.connect(host='localhost', port=3306, user='root', passwd='', db='mysql')
conn = pymysql.connect(host='localhost', port=3306, user='u1', passwd='12345', db='dbname', ssl = {'key': 'ssl/client-key.pem', 'cert': 'ssl/client-cert.pem', 'ca': 'ssl/ca-cert.pem'})

cur = conn.cursor()
#cur.execute("SELECT Host,User FROM user")
cur.execute("SHOW TABLES")

print(cur.description)
print()
for row in cur:
    print(row)
cur.close()
conn.close()

error

Traceback (most recent call last):
  File "C:\Python34\lib\site-packages\pymysql\connections.py", line 851, in connect
    self._request_authentication()
  File "C:\Python34\lib\site-packages\pymysql\connections.py", line 1017, in _request_authentication
    ca_certs=self.ca)
  File "C:\Python34\lib\ssl.py", line 890, in wrap_socket
    ciphers=ciphers)
  File "C:\Python34\lib\ssl.py", line 580, in __init__
    self.do_handshake()
  File "C:\Python34\lib\ssl.py", line 807, in do_handshake
    self._sslobj.do_handshake()
ssl.SSLError: [SSL: CERTIFICATE_VERIFY_FAILED] certificate verify failed (_ssl.c:600)

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "C:/Users/User/Py/prjct/test.py", line 24, in <module>
    conn = pymysql.connect(host='localhost', port=3306, user='u1', passwd='12345', db='dbname', ssl = {'key': 'ssl/client-key.pem', 'cert': 'ssl/client-cert.pem', 'ca': 'ssl/ca-cert.pem'})
  File "C:\Python34\lib\site-packages\pymysql\__init__.py", line 88, in Connect
    return Connection(*args, **kwargs)
  File "C:\Python34\lib\site-packages\pymysql\connections.py", line 657, in __init__
    self.connect()
  File "C:\Python34\lib\site-packages\pymysql\connections.py", line 882, in connect
    raise exc
pymysql.err.OperationalError: (2003, "Can't connect to MySQL server on 'localhost' ([SSL: CERTIFICATE_VERIFY_FAILED] certificate verify failed (_ssl.c:600))")