Can we directly write Python code under "run | " section in action.yml file

There is a built-in shell keyword for python.

steps:
  - name: Display the path
    run: |
      import os
      print(os.environ['PATH'])
    shell: python

Source: https://docs.github.com/en/actions/reference/workflow-syntax-for-github-actions#example-running-a-python-script

You can also use a custom shell. GitHub Actions writes the value of run to a temporary file and passes it to the specified shell by replacing {0} with the file name of the temporary script.

steps:
  - name: Display the path
    run: |
      import os
      print(os.environ['PATH'])
    shell: python {0}