FWIW, according to your comments I tried a quick and dirty fix in my code as I can't wait for a new Python release to make it work:

The do_stuff function now does:

"""
def do_stuff():
    client=make_client('',6666, b"foo")
    data_proxy=client.get_proxy()

    #make a dummy request to get the underlying
    #fd we are reading from (see bug #20540)
    c=data_proxy.good([1,2],[3,4])
    fd=data_proxy._tls.connection._handle

    #setting TCP_NODELAY on 3.3.x should fix the delay issue until a new release
    sock=socket.fromfd(fd, socket.AF_INET, socket.SOCK_STREAM)
    sock.setsockopt(socket.IPPROTO_TCP, socket.TCP_NODELAY, 1)

    for i in range(10):
        t_s=time.time()
        c=data_proxy.good([1,2],[3,4])
        print(time.time()-t_s)
    print(c)
"""

I'm now down to 0.04s per request instead of ~0.08s, I guess the remaining delay comes from the server side socket which has not been affected by the TCP_NODELAY on the client side.

Regards.