During the setup process, SQL Server 2017 can pull down and install its own edition of CPython 3.5, the stock Python interpreter available from the Python.org website.

Review: SQL Server 2017 adds Python, graph processing and runs on Linux Integration of Python for data science, graph processing for NoSQL-like functionality, and it runs on Linux as well as Windows.

It's not terribly difficult to connect your Horizon deployment to a database. Following the instructions here, you shouldn't find it difficult to set up and use SQL Server Express with Horizon either.