The OpenSSL module comes from the pyOpenSSL library. You can install it with Pip using a command like:
pip install pyOpenSSL
If it fails due to missing dependencies, see the instructions on installing pyOpenSSL’s dependencies in this answer to “How to install OpenSSL for Python”.
(Also, as with all pip installs, depending upon your environment, you may need to write sudo before pip to run as root, and you may need to use a version-specific pip command like pip3 or pip2.)