Concatenate your certificate file with the intermediate certificates (many CAs will give you this file directly; sometimes you have to assemble it yourself). The combined file will look like this with multiple BEGIN/END CERTIFICATE lines:
-----BEGIN CERTIFICATE-----
... (certificate for your server)...
-----END CERTIFICATE-----
-----BEGIN CERTIFICATE-----
... (the certificate for the CA)...
-----END CERTIFICATE-----
-----BEGIN CERTIFICATE-----
... (the root certificate for the CA's issuer)...
-----END CERTIFICATE-----
Then you can pass this file as `certfile` to `SSLContext.load_cert_chain` when setting up your ssl configuration.
-Ben