I was having the same issue! but I figured it out, you have to add a "wait to return" to make sure the pythonista code finishes running before the shortcut does. Hopefully it was the same issue if you haven't figured It out yet.
In general, iOS does not allow one app to control another app. Apps can provide Siri shortcuts or a URL scheme to allow limited control by other apps, but this has to be specifically supported by the app, and the developer decides what actions can be triggered by other apps.
If the Sonos app provides Siri shortcuts or a URL scheme to control music playback, you can use that, otherwise you're out of luck. It doesn't make a difference whether you use Pythonista or the Shortcuts app to do the automation - both apps only have access to the control endpoints provided by the other app, and nothing more.