looking at the code, it's easy to modify existing netclasses. It doesn't look like a constructor is exposed to Python.
Perhaps only as notes to myself:
board = pcbnew.GetBoard()
ds = board.GetDesignSettings()
# ugly. exposes a public member not via an accessor method
nc = ds.m_NetClasses
But how do you get a net netclass ptr?
I'm guessing that pcbnew/swig/netclass.i can be modified to add a constructor method. Probably not difficult but it's time for bed.
Sounds like a good topic for my blog.