I was having the same issue! but I figured it out, you have to add a "wait to return" to make sure the pythonista code finishes running before the shortcut does. Hopefully it was the same issue if you haven't figured It out yet.
Jon - thanks, you set me on the right track -- the app I want to paste into (MarginNote) accepts rich text only if it's formatted as an Apple Web Archive type. Here's how I ultimately got it to work for Python 2.7, thanks to this guide on coercing HTML into an archive type: