The Py_BEGIN_ALLOW_THREADS and Py_END_ALLOW_THREADS
currently do not support supplying WHERE to save the
thread state via an argument. I needed that for a
project myself so I wrote the following:

#ifdef WITH_THREAD
#  define MY_BEGIN_ALLOW_THREADS(st)    \
    { st = PyEval_SaveThread(); }
#  define MY_END_ALLOW_THREADS(st)      \
    { PyEval_RestoreThread(st); st = NULL; }
#else
#  define MY_BEGIN_ALLOW_THREADS(st)
#  define MY_END_ALLOW_THREADS(st)      { st = NULL; }
#endif

This has, of course, the drawback that whenever the
Py_BEGIN_ALLOW_THREADS macro changes I have to change mine!

Therefore, I propose that these macros (under different
names certainly) or macros that work something like
this (I can't have asymmetric { and } in them, since I
needed to retrieve the thread state somewhere else) in
the standard Python distribution.

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I think that current Py_BEGIN/END_ALLOW_THREADS macroses
model (with block) is choosen to enforce compile-time
pairwise check. Isn't it?

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Couldn't you cheat and access the _save variable that 
Py_BEGIN_ALLOW_THREADS creates?  And does PEP 311 help solve your 
usage need at all?

As Brett says, you can use the _save variable.  Since no one else has requested this feature it doesn't seem worth it to change.