This patch (to be applied just after the pkcs12 one and before the CRL one) will allow you to add the CA certificat into a pkcs12.
 
pyOpenSSL-0.6-pkcs12_cafile.patch
pyOpenSSL-0.8-pkcs12_cafile.patch

p12 = crypto.PKCS12()
p12.set_privatekey(pkey)
p12.set_certificate(cert)
open("test.p12", "w").write(crypto.dump_pkcs12(p12, "my_passphrase", "/my/path/to/cacert.pem"))