>>> I fixed Python 3, no?

Yes. In Python3 they are replaced by PyMem_RawMalloc. But it's not only PyMem_Malloc, there are also PyErr_SetString, PyErr_NoMemory, even in Python3.

BTW, even in Python3, when memory allocators are in debug mode, it finally calls bumpserialno, which IIUC, is not thread safe. But of course it's another issue.

>>> For Python 2, in practice you can call PyMem_Malloc() without holding the GIL, it's just malloc() which is thread safe.

Hmm, I know it. But it's not stated in the doc they are thread safe, I am not sure assuming this is suitable. An example is https://github.com/psycopg/psycopg2/issues/110.