[Fixed]-Can I feed lame a blob and have it convert 'on the fly?'

You could replace ‘something’ with ‘cat’ in your example.

cat infile.wav | lame - --comp 40 outfile.mp3

But in case you already have the blob in python, you could directly pipe it via stdin, instead of going the detour of writing it to a .wav file. See
How do I write to a Python subprocess' stdin?