See: https://github.com/openwrt/packages/pull/7051
The issue seems a bit older ; see comment: 
https://github.com/python/cpython/pull/3943#discussion_r148949292

Build error happens on OpenWrt as well:


---------------------------------------------------------------
<openwrt>/build_dir/target-i386_pentium4_musl/Python-3.7.0/Modules/_ssl.c:4000:5: error: implicit declaration of function 'DH_free'; did you mean 'lh_free'? [-Werror=implicit-function-declaration]
     DH_free(dh);
     ^~~~~~~
     lh_free
cc1: some warnings being treated as errors

Python build finished successfully!
The necessary bits to build these optional modules were not found:
_tkinter              _uuid                 nis
To find the necessary bits, look in setup.py in detect_modules() for the module's name.

The following modules found by detect_modules() in setup.py, have been
built by the Makefile instead, as configured by the Setup files:
_abc                  atexit                pwd
time                  zlib

Failed to build these modules:
_ssl

Makefile:618: recipe for target 'sharedmods' failed

---------------------------------------------------------------

The fix seems to be to include <openssl/dh.h>.