Please look at how PHP implement the feature.
It doesn't use any PEM or any Key File, but just initiatlize the DH parameters.

Stud instead, ask the user to generate "offline" the DH parameters and save it into the PEM file.

I think that the PHP approach it's better than the STUD one:
It does not require any file or key to generate DH parameters.

This is the way to have supported ciphers such as DHE-RSA-AES256-SHA (
http://www.openssl.org/docs/apps/ciphers.html ) that now cannot be used because the Python SSL binding doesn't initialize the DH parameters.