There seems to be an issue with urllib2
The headers defined does not match with the physical data packet (from wireshark). Other header parameters such as User Agent, cookie works fine.
Here is an example of a failure:

Python Code:
import urllib2

url = "http://www.python.org"

req = urllib2.Request(url)
req.add_header('Connection',"keep-alive")
u = urllib2.urlopen(req)


Wireshark:
GET / HTTP/1.1

Accept-Encoding: identity

Connection: close

Host: www.python.org

User-Agent: Python-urllib/2.6