I haven't scientifically confirmed this or anything, but it sure seems like if you pass an empty dataframe to a TabPy script, then no matter how many rows you may return from the script, Tableau Prep Builder will insist that you in fact returned no rows. This is annoying because you can run the same script from a command line and get output.
The fix is that you have to supply at least one row to the script, and then just ignore it entirely. This will placate Tableau Prep Builder and allow execution to continue.