$ tar -xzf openssl-1.1.1j.tar.gz
$ pushd openssl-1.1.1j
$ ./config \
    --prefix=/home/heimes/dev/python/custom-openssl \
    --openssldir=\
        $(find /etc/ -name openssl.cnf -quit -printf "%h" 2>/dev/null)
$ make
$ make install_sw
$ popd

$ pushd cpython
$ ./configure \
    --with-openssl=/home/heimes/dev/python/custom-openssl \
    --with-openssl-rpath=auto
$ make
$ ldd build/lib.linux-x86_64-3.10/_ssl.cpython-310-x86_64-linux-gnu.so 
        linux-vdso.so.1 (0x00007ffde07bc000)
        libssl.so.1.1 => /home/heimes/dev/python/custom-openssl/lib/libssl.so.1.1 (0x00007f937493a000)
        libcrypto.so.1.1 => /home/heimes/dev/python/custom-openssl/lib/libcrypto.so.1.1 (0x00007f937465a000)
        libpthread.so.0 => /lib64/libpthread.so.0 (0x00007f9374608000)
        libc.so.6 => /lib64/libc.so.6 (0x00007f937443d000)
        libdl.so.2 => /lib64/libdl.so.2 (0x00007f9374436000)
        /lib64/ld-linux-x86-64.so.2 (0x00007f93749ff000)
$ ./python
>>> import ssl
>>> ssl.OPENSSL_VERSION
'OpenSSL 1.1.1j  16 Feb 2021'
>>> import urllib.request
>>> r = urllib.request.urlopen("https://www.python.org")
                                   ^^^ No cert validation error!