I think the problem is that the way SDL works, since it never got the alt down event, so it will never think alt is held :(
as a test, I tried modifying a little game script to print pygame.key.get_mods() continuously in the game loop, and it was always 0 for the alt key being held before the script ran.
If you really want something like this, I'd turn to platform specific function calling through ctypes. This should do it on windows:
http://msdn.microsoft.com/en-us/library/windows/desktop/ms646301(v=vs.85).aspx