How to generate a key hold & press event in Python on Windows

For pygame try this one: http://www.pygame.org/docs/ref/key.html#pygame.key.set_repeat

seems to me like exactly what you're looking for.

If you don't want to solve it that way you would have to write a thread, that starts on the key down event, stops on the key release event and calls itself over and over again while invoking the key event. This would look somehow like this:

from threading import Thread, Event
from time import sleep

class BtnRepeater(Thread)
    def __init__(self, *args, **kw):
        self.stop = Event()
        if 'startdelay' in kw:
            self.stdelay = kw.pop('startdelay')
        else:
            self.stdelay = 1 default delay
        if 'repeatdelay' in kw:
            self.rpdelay = kw.pop('startdelay')
        else:
            self.rpdelay = 0.2 default delay

        Thead.__init__(self, *args, **kw)

    def run(self):
        sleep(self.stdelay)
        while not self.stop.is_set():
            # invoke event here
            sleep(self.rpdelay)

def event_handler_btn_down(event):
    # needs to be binded somewhen
    br = BtnRepeater()
    bind(event.key,'key_release',br.stop.set) # this is no real pygame call - but you probably know what I'm talking about
    br.start()