I think it's unable to find the ffmpeg binary. Python has wave support built in, so pydub doesn't require ffmpeg to open/close/modify wave files.
Try assigning the location of the ffmpeg binary before you use it like so:
from pydub import AudioSegment
AudioSegment.converter = "c:\ffmpeg\bin\ffmpeg.exe"
wav = AudioSegment.from_wav(Path) #If I execute only this line, there are no errors.
wav.export(r"WavOut.mp3",format="mp3")
edit: We've change changed the name of the property from AudioSegment.ffmpeg
to AudioSegment.converter
because we now support both ffmpeg and avconv.
Please check which your version uses before assigning to this property (it's "converter" starting in the 0.9.0 release)