Probably this is related to issue 25824. When built as a console application and run from the command prompt, you should see an the error

    ImportError: No module named site

If that's the case, the problem is that even the 64-bit build is incorrectly setting the DLL version string to "2.7-32":

    0:000> da poi(python27!PyWin_DLLVersionString)
    00000000`50b878c0  "2.7-32"

So the interpreter is looking at the wrong registry key to get the default sys.path:

    python27!getpythonregpath+0x110:
    00000000`509a3d90 ff15b2d20500    call    qword ptr
                [python27!_imp_RegOpenKeyExA (00000000`50a01048)]
                ds:00000000`50a01048=
                    {ADVAPI32!RegOpenKeyExAStub (00007ffb`56f87d70)}
    0:000> da @rdx
    00000037`e4fd9940  "Software\Python\PythonCore\2.7-3"
    00000037`e4fd9960  "2\PythonPath"

As a workaround, before calling Py_Initialize, add Py_SetPythonHome("C:\\Python27"), or wherever you installed Python. Or create a symbolic link to Python's Lib directory in the directory that has your executable:

    mklink /d Lib "C:\Python27\Lib"

Or 'fix' the "SOFTWARE\Python\PythonCore\2.7" registry key by renaming it to "2.7-32". Or downgrade to 2.7.10 until 2.7.12 is released. 

That said, probably you'll use a zipped library if distributing an application, in which case this shouldn't be a problem.