I resolved the problem. It is not an error of python-pygame but of python-numpy. The same error occurs on fedora linux (here and here). Numpy has been ported to maemo and as mentioned in this thread some symbolic links must be created manualy after installation. It seems that for some reasons these links are not created (anymore?) during the installation process.

Try this in a terminal:
# root
# cd /usr/lib
# ln -s libblas.so.3gf libblas.so
# ln -s liblapack.so.3gf liblapack.so

That solved the problem for me.