Was looking for an answer to the same question. Found that connecting without specifying the database will allow you to query multiple tables:
db = _mysql.connect('localhost', 'user', 'password')
Then you can query different tables from different databases:
select table1.field1,
table2.field2
from database1.table1 inner join
database2.table2 on database2.table2.join_field = database1.field1.join_field
And boom goes the dynamite