Looks like the build changes do not work with a build directory outside of the source directory:
mkdir build && cd build && ../configure && make
gcc -c -Wno-unused-result -Wsign-compare -Wunreachable-code -DNDEBUG -g -fwrapv -O3 -Wall -std=c99 -Wextra -Wno-unused-result -Wno-unused-parameter -Wno-missing-field-initializers -Wstrict-prototypes -Werror=implicit-function-declaration -fvisibility=hidden -I../Include/internal -IObjects -IInclude -IPython -I. -I../Include -DPy_BUILD_CORE -o Parser/pegen/pegen.o ../Parser/pegen/pegen.c
error: unable to open output file 'Parser/pegen/pegen.o': 'No such file or directory'
1 error generated.
make: *** [Parser/pegen/pegen.o] Error 1
Lots of build processes depend on this, like for putting out a release.