The limitation with COALESCE in Python (without additional language support) is that it does not lazily evaluate the arguments, which I imagine will be a necessary requirement.
If a special case is made in the Python language to lazily evaluate the arguments of COALESCE, it would be an interesting approach. It also opens the door as for whether to support lazy evaluation / short circuit in more contexts. (I feel a “macro” system is knocking at the door!)