Nope.

$ sqlite3
SQLite version 3.7.4
Enter ".help" for instructions
Enter SQL statements terminated with a ";"
sqlite> pragma foreign_keys;
0
sqlite>

$ python
Python 2.7.1+ (r271:86832, Apr 11 2011, 18:13:53) 
[GCC 4.5.2] on linux2
Type "help", "copyright", "credits" or "license" for more information.
>>> import sqlite3
>>> c = sqlite3.connect(':memory:')
>>> list(c.execute('pragma foreign_keys'))
[(0,)]
>>> list(c.execute('pragma foreign_keys = on'))
[]
>>> list(c.execute('pragma foreign_keys'))
[(1,)]