Qt5.15.9 +pythonqt3.4.2
set PYTHONQTALL_CONFIG=PythonQtCore PythonQtGui PythonQtNetwork PythonQtXml
qmake -o Makefile D:\Qt5\5.15\QtSources\PythonQt\PythonQt.pro
nmake
it is work fine

Qt5.15.15 +pythonqt3.5.2
use same command
PythonQt_QtAll build with none module

i edit PythonQt_QtAll.pro
CONFIG += $${PYTHONQTALL_CONFIG}
chang to:
CONFIG += $$split(PYTHONQTALL_CONFIG, " ")
it is work fine