What you want is a custom activity, this way you can run a Python script with Data Factory. For this you need to create an extra resource, Azure Batch.
More info here: https://docs.microsoft.com/en-us/azure/data-factory/transform-data-using-dotnet-custom-activity and here https://docs.microsoft.com/en-us/azure/batch/batch-python-tutorial#batch-python-tutorial-code-sample
If you dont like that option, you can use a Web activity, that also calls a custom REST api. Documentation: https://docs.microsoft.com/en-us/azure/data-factory/control-flow-web-activity
Hope this helped!
