> asyncio/test/*_test.py
> asyncio/test/test_*.py
> test/test_asyncio/<either of the above>

Personally I have a preference for test/test_asyncio/test_*.py, because
putting all tests in test/ makes them easier to find.

However, other packages such as unittest have their dedicated test
packages (unittest/test/...).

As for test_*.py vs. *_test.py, test_*.py is definitely the norm in the
source tree.