surface = pygame.Surface((100,100))
surface.set_alpha(0)
If you will be drawing on the surface, you can use colorkeys:
surface = pygame.Surface((100,100))
surface.set_colorkey((0,0,0)) #the default surface color
The disadvantage here is that anything black will be transparent. You can fill the surface with a convenient color beforehand then set the colorkey to that if you need black. There are 255**3 possible colors, you probably don't need all of them.
There is probably a way to set certain pixels transparent before-hand, and you might look into masks. You can also just load an image with alpha values and use .convert_alpha() on the surface
Hope this helps,
Ian