Its an open issue in PyQuery: https://github.com/gawel/pyquery/issues/22
Some workarounds are mentioned in above link, such as:
>>> from lxml.html import parse
>>> parse("index.html")
<lxml.etree._ElementTree object at 0x108a72f38>
>>> pq(parse("index.html").getroot())
or
>>> f = open('index.html')
>>> d = PyQuery(f.read())