The mpi4py generated using the Cython available at import time that is included in VTK 8.2.0 (which it appears you may be trying to compile) might not support those versions of Python. You could try doing this:
$EDITOR ThirdParty/mpi4py/update.sh
# change `tag="for/vtk"` to `tag="f79c82e4bd527a7770d1bd2a4fb53dab605678a2"`
ThirdParty/mpi4py/update.sh
with a newer Cython installed in case that gets you 3.7 support. Note that you need to be at the VTK root in order to run the script and it’s only really decently tested on Linux (there are known issues when running on macOS and Windows).