backports/lzma/_lzmamodule.c:115:18: fatal error: lzma.h: No such file or directory

$ apt-get install -y liblzma-dev

On Centos the package is

yum install -y xz-devel

For OSX with Homebrew.

brew install xz

The formula is xz which because lzma formula is deprecated, since it became a part of xz.