Have you connected to the correct device in the /dev directory?
If you are using a USB/Serial adapter, it will probably be /dev/ttyUSB0.
Use "vehicle = connect('/dev/ttyUSB0', wait_ready=True)" in your python script to make the connection.
Not sure but may need to add ", baud=57600" to the connect parameters above??
Better still install MAVProxy as a daemon and if you have more than 1 USB/Serial adapter, such as for telemetry, use the following in a created file /etc/int.d/mavgateway, use a copy of /etc/init.d/skeleton to create this file.
Change the /dev/serial/by-id/usb-Prolific_Technology_Inc.USB-SerialController-if00-port0 and /dev/serial/by-id/usb-FTDI_FT232R_USB2R_USB_UART_A7039QP1-if00-port0 to /dev/serial-id/"your-USB-Serial device names". These can be found by "dir /dev/serial/by-id". This is done because if you have multiple USB-Serial devices on the Pi, it tends to be a bit random as to which device is allocated ttyUSBx. This approach over comes this problem.
DESC="Mavproxy based mavlink gateway"
DAEMON_ARGS="--master=/dev/serial/by-id/usb-Prolific_Technology_Inc.USB-SerialController-if00-port0,57600 --out=/dev/serial/by-id/usb-FTDI_FT232R_USB2R_USB_UART_A7039QP1-if00-port0,57600 --out=udp:127.0.0.1:14550 --daemon"
In this case use "vehicle = connect('127.0.0.1:14550', wait_ready=True)" in your python script to make the connection.
See here for more info on setting MAVProxy as a daemon. [http://ardupilot.github.io/MAVProxy/html/getting_started/mavbridge.html#setting-up-the-daemon]