解决：

　　ModuleNotFoundError: No module named  bz2

　　ModuleNotFoundError: No module named '_lzma'

1、在操作系统中安装zlib和bz2相关库
yum install zlib zlib-devel

yum -y install bzip2 bzip2-devel ncurses openssl openssl-devel openssl-static xz lzma xz-devel sqlite sqlite-devel gdbm gdbm-devel tk tk-devel libffi-devel

2、重新编译

export CFLAGS="-I/usr/include"

export LDFLAGS="-L/usr/lib64"

export LD_LIBRARY_PATH=/usr/lib64

make distclean

./configure --prefix=/usr/local/python3.7 --enable-optimizations  && make && make install

其中/usr/include里有bzlib.h，/usr/lib64里有libbz2.so

最后在/home/gt/Py36/lib/python3.6/lib-dynload/得到一个_bz2.cpython-36m-x86_64-linux-gnu.so

就可以import bz2了