Dhall is also a JSON generator. And you could write your own Dhall implementation that lets you consume it directly from an application if you want to, it's just nobody's considered that worth doing.
As for Python, that's because the Python interpreter can be embedded in an app.
That said, Dhall is exposed as a Haskell library, so if you're writing a Haskell app you could consume Dhall directly and skip the YAML. https://hackage.haskell.org/package/dhall-1.24.0/docs/Dhall-... shows examples of this.