When the socket path is not specified in my.cnf, we try the hardcoded value /var/run/mysqld/mysqld.sock. However, this is not a universal constant: the docs specify /tmp/mysql.sock as the default location, and in different distribution packages of mysql it is variously overriden. Here is an old blog post where someone collected the following default paths:

I suggest putting the default socket location into the .myclirc file. In theory, it would then be a package maintainer's job to specify the correct path for each distribution, but since many distribution packages are not maintained, we could probably do some guesswork in setup.py