OK, I am trying to use client certificates to authenticate a python client to an Nginx server. Here is what I tried so far:
Created a local CA

openssl genrsa -des3 -out ca.key 4096
openssl req -new -x509 -days 365 -key ca.key -out ca.crt

Created server key and certificate

openssl genrsa -des3 -out server.key 1024
openssl rsa -in server.key -out server.key
openssl req -new -key server.key -out server.csr
openssl x509 -req -days 365 -in server.csr -CA ca.crt -CAkey ca.key -set_serial 01 -out server.crt

Used similar procedure to create a client key and certificate

openssl genrsa -des3 -out client.key 1024
openssl rsa -in client.key -out client.key
openssl req -new -key client.key -out client.csr
openssl x509 -req -days 365 -in client.csr -CA ca.crt -CAkey ca.key -set_serial 01 -out client.crt

Add these lines to my nginx config

server {
    listen 443;
    ssl on;
    server_name dev.lightcloud.com;
    keepalive_timeout 70;

    access_log /usr/local/var/log/nginx/lightcloud.access.log;
    error_log /usr/local/var/log/nginx/lightcloud.error.log;

    ssl_certificate /Users/wombat/Lightcloud-Web/ssl/server.crt;
    ssl_certificate_key /Users/wombat/Lightcloud-Web/ssl/server.key;
    ssl_client_certificate /Users/wombat/Lightcloud-Web/ssl/ca.crt;
    ssl_verify_client on;

    location / {
        uwsgi_pass unix:///tmp/uwsgi.socket;
        include uwsgi_params;
    }
}

created a PEM client file
cat client.crt client.key ca.crt > client.pem
created a test python script

import ssl
import http.client

context = ssl.SSLContext(ssl.PROTOCOL_SSLv23)
context.load_verify_locations("ca.crt")
context.load_cert_chain("client.pem")

conn = http.client.HTTPSConnection("localhost", context=context)
conn.set_debuglevel(3)

conn.putrequest('GET', '/')
conn.endheaders()
response = conn.getresponse()
print(response.read())

And now I get 400 The SSL certificate error from the server. What am I doing wrong?
It seems that my problem was that I did not create the CA properly and wasn't signing keys the right way. A CA cert needs to be signed and if you pretend to be top level CA you self-sign your CA cert.

openssl req -new -newkey rsa:2048 -keyout ca.key -out ca.pem
openssl ca -create_serial -out cacert.pem -days 365 -keyfile ca.key -selfsign -infiles ca.pem

Then you use ca command to sign requests

openssl genrsa -des3 -out server.key 1024
openssl req -new -key server.key -out server.csr
openssl ca -out server.pem -infiles server.csr
Doing SSL client authentication is python