Python uses https://www.gnu.org/software/autoconf-archive/ax_check_openssl.html to detect and check for OpenSSL. Please check config.log for any errors. The log file will contain an error message. 

How did you compile OpenSSL? Did you configure the sources with "./config shared" ?

config.log:
...
configure:17184: checking whether compiling and linking against OpenSSL works
Trying link with OPENSSL_LDFLAGS=-L/home/heimes/dev/python/multissl/openssl/1.1.0l/lib; OPENSSL_LIBS=-lssl -lcrypto; OPENSSL_INCLUDES=-I/home/heimes/dev/python/multissl/openssl/1.1.0l/include
configure:17206: gcc -pthread -o conftest  -I/home/heimes/dev/python/multissl/openssl/1.1.0l/include   -L/home/heimes/dev/python/multissl/openssl/1.1.0l/lib conftest.c -lssl -lcrypto -lcrypt -lpthread -ldl  -lutil -lm >&5
configure:17206: $? = 0
configure:17208: result: yes
configure:17231: checking for X509_VERIFY_PARAM_set1_host in libssl
configure:17260: gcc -pthread -o conftest  -I/home/heimes/dev/python/multissl/openssl/1.1.0l/include   -L/home/heimes/dev/python/multissl/openssl/1.1.0l/lib conftest.c -lssl -lcrypto -lcrypt -lpthread -ldl  -lutil -lm >&5
configure:17260: $? = 0
configure:17271: result: yes
configure:17288: checking for --with-ssl-default-suites
configure:17317: result: python
...

make:
...
building '_ssl' extension
gcc -pthread -fPIC -Wno-unused-result -Wsign-compare -DNDEBUG -g -fwrapv -O3 -Wall -std=c99 -Wextra -Wno-unused-result -Wno-unused-parameter -Wno-missing-field-initializers -Werror=implicit-function-declaration -I./Include/internal -I/home/heimes/dev/python/multissl/openssl/1.1.0l/include -I./Include -I. -I/usr/local/include -I/home/heimes/dev/python/cpython/Include -I/home/heimes/dev/python/cpython -c /home/heimes/dev/python/cpython/Modules/_ssl.c -o build/temp.linux-x86_64-3.9/home/heimes/dev/python/cpython/Modules/_ssl.o
gcc -pthread -shared build/temp.linux-x86_64-3.9/home/heimes/dev/python/cpython/Modules/_ssl.o -L/home/heimes/dev/python/multissl/openssl/1.1.0l/lib -L/usr/local/lib -lssl -lcrypto -o build/lib.linux-x86_64-3.9/_ssl.cpython-39-x86_64-linux-gnu.so
...

./python
>>> import _ssl
>>> _ssl._OPENSSL_API_VERSION
(1, 1, 0, 12, 15)