PyCrypto has no function, which can manage RSA passphrase. 
Instead, You can use ezPyCrypto (homepage) module, which is built top of PyCrypto module. It has simpler interface and lets you: 
- Generate, export and import public and private keys
 
- Encrypt and decrypt strings with ease
 
- Optionally create encrypted data as email-friendly text
 
- Sign and verify strings (incl. documents)
 
- Protect your private key with a passphrase
 
- Create 'streams', for sending data through secured sockets
 
- Choose any public key size you like (2048-bit recommended)
 
- Choose between RSA and ElGamal for public key, and IDEA, DES3, Blowfish, ARC4, IDEA for session key
 
- Rest in the comfort of security, with 256-bit session keys and defences against common RSA and ElGamal attacks, which will painfully frustrate anyone seeking to violate your privacy.
 
Usage:
"""
example7.py
Demonstrate the use of passphrases with private keys
"""
import ezPyCrypto
mysecret = "Don't look at this!!!"
raw = "Here is a string to encrypt"
# Create a key object
k = ezPyCrypto.key(passphrase=mysecret)
# Export public/private key
publicAndPrivateKey = k.exportKeyPrivate()
# Encrypt against this keypair
enc = k.encString(raw)
# Create a new key object, and import keys (with passphrase)
k1 = ezPyCrypto.key(publicAndPrivateKey, passphrase=mysecret)
# Decrypt text
dec = k.decString(enc)
# test
if dec == raw:
    print "Successful decryption using correct passphrase"
else:
    print "Failed somewhere"
print "Trying now with a bad passphrase"
try:
    k2 = ezPyCrypto.key(publicAndPrivateKey, passphrase="cracking attempt")
except ezPyCrypto.CryptoKeyError:
    print "Oops - our feeble cracking attempt failed (which is a good thing)."
else:
    print "Cracking attempt succeeded - we're not safe"
    # We're in - let's plunder
    dec2 = k2.decString(enc)
Build it
If you look into ezCryptoPy source,then you'll see key is actually encrypted/decrypted by using BlueFish algorithm:
   # decrypt against passphrase
        blksiz = 8 # lazy of me
        # create temporary symmetric cipher object for passphrase - 
        #hardwire to Blowfish
        ppCipher = Blowfish.new(passphrase,
                                Blowfish.MODE_CFB,
                                self._passIV[0:blksiz])
        enclen = len(keyobj)
        decpriv = ''
        i = 0
        while i < enclen:
            decbit = ppCipher.decrypt(keyobj[i:i+blksiz])
            decpriv += decbit
            i += blksiz
        keyobj = decpriv[0:size]
That means, you can write your own passphrase handler by using previous code example without installing ezPyCrypto. Here can you find many code examples, how do to it yourself:
Nullege code search
My first and alternative solution:
You can use python exec() function and commandline function "ssh-keygen"(doc):
ssh-keygen -p [-P old_passphrase] [-N new_passphrase] [-f keyfile].