from matplotlib.patches import Ellipse
import matplotlib.pyplot as plt
from mpl_toolkits.axes_grid.anchored_artists import AnchoredAuxTransformBox

fig=plt.figure(1, figsize=(3,3))
ax = plt.subplot(111)

box = AnchoredAuxTransformBox(ax.transData, loc=2)
el = Ellipse((0,0), width=0.1, height=0.4, angle=30) # in data coordinates!
box.drawing_area.add_artist(el)

ax.add_artist(box)

plt.show()