I am currently writing a script to run multiple SQL files using Python, a little background before you mention alternative methods; this is to automate the scripts and Python is
The API in the pyodbc connector (or pymysql) doesn't allow multiple statements in a SQL call. This is an issue of engine parsing; an API would need to completely understand the SQL that it's passing in order for multiple statements to be passed, and then multiple results handled upon return.
A slight modification to your script like the one below should allow you to send each of your statements individually with separate connectors:
import os
import pyodbc
print ("Connecting via ODBC")
conn = pyodbc.connect('DSN=dsn', autocommit=True)
print ("Connected!\n")
inputdir = 'C:\\path'
for script in os.listdir(inputdir):
with open(inputdir+'\\' + script,'r') as inserts:
sqlScript = inserts.readlines()
for statement in sqlScript.split(';'):
with conn.cursor() as cur:
cur.execute(statement)
print(script)
conn.close()
The with conn.cursor() as cur:
opens a closes a cursor for each statement, exiting appropriately after each call is completed.