The C/C++ preprocessor acts in units of tokens, and a string literal is a single token. As such, you can’t intervene in the middle of a string literal like that.
You could preprocess script.py into something like:
"some code\n"
"some more code that will be appended\n"
and #include that, however. Or you can use xxd
-i
to generate a C static array ready for inclusion.