One of the first things I do on a new project is to knock up a quick script to parse a log file and generate  a message sequence chart, as I believe that picture is worth a thousand words.
New project, and it is mandated that we use only Enterprise Architect. I have no idea what its save file format is.
Is it possible to generate a file which will open in EA from Python?
If so, where can I find an example or a tutorial?
EA is using a RDBMS to store it's repository. In the simplest case, this is a MS Access database renamed to .EAP. You can modify this RDBMS directly, but only if you know what you're doing. The recommended way is to use the API. Often a mix of both is the preferred way. You can use Python in both cases without issues.
Shameless self plug: I have published books about EA's internal and also its API on LeanPub.
Can I generate Enterprise Architect diagrams from Python?