fatal error: Python.h: No such file or directory

The header files and static libraries for python dev are not installed properly.  Use your package manager to install them. 

For apt (Ubuntu, Debian...):

#apt-get install python-dev   # for python2.x installs
#apt-get install python3-dev  # for python3.x installs

For yum (CentOS, RHEL...):

#yum install python-devel   # for python2.x installs
#yum install python3-devel   # for python3.x installs

For dnf (Fedora...):

#dnf install python2-devel  # for python2.x installs
#dnf install python3-devel  # for python3.x installs

For zypper (openSUSE...):

#zypper in python-devel   # for python2.x installs
#zypper in python3-devel  # for python3.x installs