AFAIK the 'session' in the Meraki Python library is just a wrapper for a set of parameters such as base URL org ID, API key, control settings etc. that are then used by each API call referencing that 'session'.
From Dashboard's end, there is no session, it sees just a series of standalone calls, each containing all required info.
If you want to clean up, it's just a local activity, there's no Dashboard session to close.