A simple try ... except ... can set the variable to Py_None:

>>> import threading
>>> def foo():
...     try:
...             raise RuntimeError
...     except:
...             pass
...     raise
... 
>>> threading.Thread(target=foo).start()
>>> Exception in thread Thread-1:
Traceback (most recent call last):
  File "/usr/lib/python3.4/threading.py", line 920, in _bootstrap_inner
    self.run()
  File "/usr/lib/python3.4/threading.py", line 868, in run
    self._target(*self._args, **self._kwargs)
  File "<stdin>", line 6, in foo
RuntimeError: No active exception to reraise

In the startup procedure, some c-apis are called and there are patterns like:

try:
    import some_module
except ImportError:
    some_module = ...

So I think after startup the variable can't be NULL. But we do see a NULL case here.