The is no py tag on Stack Overflow, but on mouseover (after I temporarily created it), I see this:
How does one follow a non-existent tag? Someone might have created it in the past, and 3 people are still following it... was it burninated?
Meta Stack Exchange is a question and answer site for meta-discussion of the Stack Exchange family of Q&A websites. It only takes a minute to sign up.Sign up to join this community
You can favorite any made-up tag that you want – the "add favorite tag" box is free form. There's no requirement that the tag already exists. Imagine e.g. that you have created a new library and if someone starts using Stack Overflow to ask questions about your library, that would surely be a favorite for you.
So you favorite the tag that those askers are probably going to use, once they ask such questions. Why should you have to wait until the tag actually exists on a question?