According to this question a PR is just an issue with some things on top.
How to get the associated issue id?
I just saw issue_url as attribute for the pull request object.
Also, PR has the method create_review_comment but no method create_issue_comment.
How would such a method look like?
How to create an issue comment in the Pull Request?
I was able to do it by getting the issue from the PR number. Indeed, in github a "hidden" issue is created every time you create a pull request.
So the following code worked:
gh = ... # Connection
repo = gh.repository(user, repo_name)
pr = repo.create_pull(description, base, from_branch, detailed)
issue = repo.issue(pr.number)
issue.create_comment(comment)
One could also use other ways to get the issue from PR number.
Not sure if there is any way more straightforward than this