I don't know what the canonical way is but here's a way to check to see if a database exists by checking against the list of databases.
from sqlalchemy import create_engine
# This engine just used to query for list of databases
mysql_engine = create_engine('mysql://{0}:{1}@{2}:{3}'.format(user, pass, host, port))
# Query for existing databases
existing_databases = mysql_engine.execute("SHOW DATABASES;")
# Results are a list of single item tuples, so unpack each tuple
existing_databases = [d[0] for d in existing_databases]
# Create database if not exists
if database not in existing_databases:
mysql_engine.execute("CREATE DATABASE {0}".format(database))
print("Created database {0}".format(database))
# Go ahead and use this engine
db_engine = create_engine('mysql://{0}:{1}@{2}:{3}/{4}'.format(user, pass, host, port, db))
Here's an alternative method if you don't need to know if the database was created or not.
from sqlalchemy import create_engine
# This engine just used to query for list of databases
mysql_engine = create_engine('mysql://{0}:{1}@{2}:{3}'.format(user, pass, host, port))
# Query for existing databases
mysql_engine.execute("CREATE DATABASE IF NOT EXISTS {0} ".format(database))
# Go ahead and use this engine
db_engine = create_engine('mysql://{0}:{1}@{2}:{3}/{4}'.format(user, pass, host, port, db))