Drawing different graphics on top of the Construct window is a interesting idea, but I haven't the time yet to try it.
The libraries that come to mind:
1. Pygame
2. Pyglet
3. PyQT
4. wxPython
5. pygtk
As you can see you have lots of options. I have successfully used Pygame, Pyglet, and PyGTK with Construct. PyQT has some quirks to export it correctly. I haven't tried the others.