I'm using Python 3.6.0 RC2.
When I try to run VACUUM command, an exception raised:

conn.execute('begin')  # <- remove this line get the same result
conn.execute('VACUUM')

sqlite3.OperationalError: cannot VACUUM from within a transaction

On Python 3.5, everything is fine.
Attached file cant_vacuum.py is the full example code.

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related issue: #10740 sqlite3 module breaks transactions and potentially corrupts data

R. David Murray said in #10740 about this issue:
It is an unexpected change in behavior and is therefore probably a bug.  It will work if you set isolation_level=None.  Because of that I don't think it is a release critical bug, though one could wish we'd discovered it earlier.