There is a relevant issue in openpyxl
issue tracker. Plus, according to the source code show_gridlines
is just a worksheet class property that has no affect at all. Just watch the issue to get any update on it.
As an alternative solution, try the new and awesome xlsxwriter module. It has an ability to hide grid lines on a worksheet (see docs). Here's an example:
from xlsxwriter.workbook import Workbook
workbook = Workbook('hello_world.xlsx')
worksheet = workbook.add_worksheet()
worksheet.write('A1', 'Hello world')
worksheet.hide_gridlines(2)
workbook.close()