The best way is to use VBA to call a Python script, rather than a user-defined function. You can do that with this code:
Sub call_DN()
Application.COMAddIns("DataNitro.DataNitro").Object.RunScript ("test.py")
End Sub
That gives you more flexibility than packaging the code as a UDF. It's still not ideal to go through VBA, but there's no other option right now.
[Source: I'm one of the DataNitro developers]