Drawing a transparent line in pygame

You have to create new surface with any size and with alpha channel

surface = pygame.Surface((width, height)).convert_alpha()

or use main surface to create new surface with the same size

surface = screen.convert_alpha()

Fill it with transparent color (0,0,0,0). Important is last zero which means alpha channel - (R,G,B,A)

surfaces.fill([0,0,0,0])

Draw on this surface with alpha channel smaller then 255

pygame.draw.line(surface, (0, 0, 0, 32), (0, 0), (800, 600), 5)

And finally you can blit it on main page in any place

screen.blit(surface, (x, y))

For surface which has the same size as main surface it can be (0,0)

screen.blit(surface, (0,0))

Minimal example

import pygame

pygame.init()

screen = pygame.display.set_mode((800,600))#, depth=32)

surface1 = screen.convert_alpha()
surface1.fill([0,0,0,0])
pygame.draw.circle(surface1, (255, 0, 0, 128), (325, 250), 100)

surface2 = screen.convert_alpha()
surface2.fill([0,0,0,0])
pygame.draw.circle(surface2, (0, 255, 0, 128), (475, 250), 100)

surface3 = screen.convert_alpha()
surface3.fill([0,0,0,0])
pygame.draw.circle(surface3, (0, 0, 255, 128), (400, 350), 100)

surface4 = screen.convert_alpha()
surface4.fill([0,0,0,0])
pygame.draw.line(surface4, (0, 0, 0, 32), (0, 0), (800, 600), 5)
pygame.draw.line(surface4, (0, 0, 0, 32), (0, 600), (800, 0), 5)

surface5 = screen.convert_alpha()
surface5.fill([0,0,0,0])
pygame.draw.polygon(surface5, (255, 0, 0, 128), [(400, 250), (450, 300), (400, 350), (350, 300)])

screen.fill([255,255,255]) # white background
screen.blit(surface1, (0,0))
screen.blit(surface2, (0,0))
screen.blit(surface3, (0,0))
screen.blit(surface4, (0,0))
screen.blit(surface5, (0,0))

pygame.display.flip()

running = True
while running:
    for event in pygame.event.get():
        if event.type == pygame.QUIT:
            running = False
        if event.type == pygame.KEYDOWN:
            if event.key == pygame.K_ESCAPE:
                running = False

pygame.quit()