If you are installing from source there are several system dependancies that should be fulfilled:
http://initd.org/psycopg/docs/install.html#install-from-source
But Python.h is definitely coming from the python-devel (and python3X-devel) package so if it's not found there might be something misconfigured on your system. https://gcc.gnu.org/onlinedocs/cpp/Search-Path.html
Alternatively you could use the system package using the package manager so that it solves dependancies for you.
yum install python-psycopg2 # python35-psycopg2 for py3
