Custom scheme support is not yet implemented in CEF Python, see Issue 50 "Add custom scheme support":
https://code.google.com/p/cefpython/issues/detail?id=50
You could probably accomplish the same thing using OnBeforeResourceLoad() and/or GetResourceHandler(). See the RequestHandler wiki page:
https://code.google.com/p/cefpython/wiki/RequestHandler
There is the wxpython-response.py example that uses GetResourceHandler to intercept all resources being loaded:
See also Issue 49 "Implement OnBeforeResourceLoad" (CEF Python 1), some comments might give you insight on how things are: