Since this bites me every time, documenting here, worked with Python 2.7.11 and OpenSSL from MacPorts. Extract Python source, edit Modules/Setup, uncomment the lines starting with SSL= (and lines following) and set that to /opt/local. Run configure with appropriate prefix and make install. An LD_LIBRARY_PATH might help too.
For pip to install with, use
And while you're at it,
pip install gnureadline pyopenssl