Yes, Shellshock is kind of a marginal case, but it probably does qualify as a security hole due in part to CGI itself, even though it doesn't affect Python programs (unless they spawn a shell). I don't know of any other examples of security problems caused by CGI, even partly. It's a very thin layer over HTTP.
From your linked article: If the handler is a Bash script, or if it executes Bash...
But we are talking about Python not Bash.