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Currently, ElementTree doesn't support comments and processing instructions in the prolog. That is the typical place to put style-sheets and document type definitions.
It would be used like this:
 from xml.etree.ElementTree import ElementTree, Element, Comment, ProcessingInstruction
 r = Element('current_observation', version='1.0')
 r.text = 'Nothing to see here. Move along.'
 t = ElementTree(r)
 t.append(ProcessingInstruction('xml-stylesheet', 'href="latest_ob.xsl" type="text/xsl"'))
 t.append(Comment('Published at: http://w1.weather.gov/xml/current_obs/KSJC.xml'))
That creates output like this:
 <?xml version='1.0' encoding='utf-8'?>
 <?xml-stylesheet href="latest_ob.xsl" type="text/xsl"?>
 <!--Published at: http://w1.weather.gov/xml/current_obs/KSJC.xml-->
 <current_observation version="1.0">
 Nothing to see here. Move along.
 </current_observation>