from sqlalchemy import create_engine
engine = create_engine('sqlite:///:memory:', 
        echo=True, 
        module=db  #Здесь указываем модуль с интерфейсом DBAPI(2)
)

from sqlite3 import *

def connect(*args, **kwargs):
    return NewConnection(*args, **kwargs)

class NewCursor(Cursor):
    def execute(self, *args, **kwargs):
        print 'Begin'
        res = super(self.__class__, self).execute(*args, **kwargs)
        print 'End'
        return res

class NewConnection(Connection):
    def cursor(self):
        return NewCursor(self)
    def execute(self, *args, **kwargs):
        print 'Begin'
        res = super(self.__class__, self).execute(*args, **kwargs)
        print 'End'
        return res

...
    def execute(self, *args, **kwargs):
        print 'Begin'
        try:
            return super(self.__class__, self).execute(*args, **kwargs)
        finally:
            print 'End'
...
    def execute(self, *args, **kwargs):
        print 'Begin'
        try:
            return super(self.__class__, self).execute(*args, **kwargs)
        finally:
            print 'End'