Use a bytearray:
>>> frame = bytearray()
>>> frame.append(0xA2)
>>> frame.append(0x01)
>>> frame.append(0x02)
>>> frame.append(0x03)
>>> frame.append(0x04)
>>> frame
bytearray(b'\xa2\x01\x02\x03\x04')
or, using your code but fixing the errors:
frame = b""
frame += b'\xA2'
frame += b'\x01'
frame += b'\x02'
frame += b'\x03'
frame += b'\x04'