I did something similar, yes. I cannot reproduce this with a new virtualenv anymore. It may have been due to odd bits in my environment (likely not worth further investigation).

    virtualenv -p `which pypy` ~/pypy_env
    source ~/pypy_env/bin/activate
    # indeterminate <but probably critical> changes to this venv
    pip install bandit
    bandit-config-generator -o tmp_file
    bandit --help # "The following sets..." is empty
    bandit -c tmp_file -r path/to/some/project # gives the error regarding config file parse failure

I can reproduce the parse error given the nearly empty config file, but it's not clear to me whether the parse error is expected in this case or not.

    $ echo -e 'tests:\nskips:\n{}' > parse_err.cfg
    $ bandit -c parse_err.cfg .

[main] ERROR parse_err.cfg : Error parsing file.