How can I run a python script to an established power query transformation?

yes.  What have you tried and where are you stuck?  Are you sure you need regex?

Using regular expressions in power bi desktop - Microsoft Power BI Community

I'm more or less learning how to apply pandas functions and apply this particular regex expression. But this is my current step.

that error is unrelated to regex.  Specify a column type before loading the data into the puthon dataframe.