From the tests:

from OpenSSL import SSL

Response to the edit: pip install pyopenssl should have installed six. If you're trying to install yourself, I'd not do this, but you can install the dependencies manually using pip install six cryptography and then your import should work fine. If not, leave a comment and I'll do some further investigation.

Response to comment: There are instructions on installing pip on windows.

SSL development libraries have to be installed

CentOS:

$ yum install openssl-devel libffi-devel

Ubuntu:

$ apt-get install libssl-dev libffi-dev

OS X (with Homebrew installed):

$ brew install openssl

You can't relink the existing Python installation and need to build another Python distribution from source. When building Python, you need to adapt CPPFLAGS, LDFLAGS and LD_LIBRARY_PATH env variables. Assuming you installed the custom OpenSSL in /path/to/openssl:

$ cd /path/with/Python/sources/unpacked/
$ export LDFLAGS="-L/path/to/openssl/lib/ -L/path/to/openssl/lib64/"
$ export LD_LIBRARY_PATH="/path/to/openssl/lib/:/path/to/openssl/lib64/"
$ export CPPFLAGS="-I/path/to/openssl/include -I/path/to/openssl/include/openssl"
$ ./configure --prefix=/path/to/custom/python/
$ make
$ make install

Now Python in /path/to/custom/python/ will use the custom OpenSSL:

$ /path/to/custom/python/bin/python -c "import ssl; print(ssl.OPENSSL_VERSION)"
OpenSSL 1.1.0h  27 Mar 2018