that's should be because your cron execution directory is not the same then your working directory
try to change your line in cron from
* * * * * python /path/to/your/script/script.py
to
* * * * * cd /path/to/your/script/ && python script.py
or you can change your script:
import os
import MySQLdb as mdb
mdb.connect(read_default_file=os.path.realpath(__file__)+"/my.cnf")