$ cat test2.py 
import hmac
from hashlib import sha256
print(hmac.new(b'test', msg=b'test', digestmod=sha256).hexdigest())

$ micropython test2.py 
Warning: No block_size attribute on given digest object; Assuming 64.
Traceback (most recent call last):
  File "test2.py", line 4, in <module>
  File "/home/treizh/.micropython/lib/hmac.py", line 137, in hexdigest
  File "/home/treizh/.micropython/lib/hmac.py", line 120, in _current
AttributeError: 'sha256' object has no attribute 'copy'

$ cat test.py 
import hmac
from hashlib._sha256 import sha256

print(hmac.new(b'test', msg=b'test', digestmod=sha256).hexdigest())
$ micropython test.py 
88cd2108b5347d973cf39cdf9053d7dd42704876d8c9a9bd8e2d168259d3ddf7