My personal frustration with Python's coding standards is the combination of PascalCaseNames and snake_case_names. Rust has adopted the same coding style. :(
Plenty of C++ code uses UPPERCASE_SNAKE_CASE_NAMES for macros, but that doesn't seem so bad because macros are ugly and should be used less frequently than classes and functions. (I hope!)
Curious, why's that bother you? Different things should look different, and all. :) The alternative for class names is Camel_Snake, which will get you smacked in virtually any language.
Python code does tend to use UPPERCASE_SNAKE for "constants" as well, probably inherited from C (sometimes via Perl or Ruby).
What happens when you want to write a set of functions to handle a set of classes? Especially when you are given a class and want to figure out which handler to call dynamically - eg you have FooEvent, should the function be "handle_foo_event", "handle_FooEvent", "HandleFooEvent", or any of several other possibilities?
Plenty of C++ code uses UPPERCASE_SNAKE_CASE_NAMES for macros, but that doesn't seem so bad because macros are ugly and should be used less frequently than classes and functions. (I hope!)