Is possible and, if so, common practice to initialize an object inside a class in Python?
self.field = Class()
Everything in Python is an object, so yes, this is common practice. You could not create a meaningful Python program without creating other instances in your own classes.
If you want to do it in a Object Oriented way, you could pass a factory into the class, so that you can instantiate your class using a factory method:
self.field = myFactory.GetSomeClass()