[Python 2.7]In-window input shell using pygame?

Here you need pygame.key, here is the docs

And I made a demo for you, besides pygame.key seems not support for caps, so as the 'Left' you wanted, here can only show 'left'

import pygame
from pygame.locals import *
from sys import exit

#initializing variables
pygame.init()
screen=pygame.display.set_mode((640,480),0,24)

FONT=pygame.font.SysFont("comicsansms",24)

# 26 letters, pygame_key not support for caps
LETTERS = [chr(i) for i in range(97,123)]

#text input in terminal
text = ""

start_input = False
#just use color for show if the input start or end
terminal_color = (240,240,240)
circle_position = [100,300]

def on_event(event):
    global text, terminal_color, start_input,circle_position
    if event.type==QUIT:
        exit()
    elif event.type == pygame.MOUSEBUTTONUP:
        pos = pygame.mouse.get_pos()
        if mouse_in_terminal_window(pos):
            # input start
            start_input = True
            terminal_color = (0,0,0)

    if start_input and pygame.key.get_focused():

        press=pygame.key.get_pressed()

        for i in xrange(0,len(press)): 
            if press[i]==1:
                name=pygame.key.name(i)

                if name == 'return':

                    if text == "left":
                        #change the circle postion from (100, 300) to (150, 300)
                        circle_position[0] += 50

                    #input end
                    start_input = False
                    terminal_color = (240,240,240)
                    text= ""

                elif name in LETTERS:
                    text += name

                elif name == 'backspace':
                    text = text[:-1] if len(text)>0 else text

def on_render():
    screen.fill((255,255,255))
    render_terminal()
    render_circle()
    pygame.display.update()

def render_terminal():
    pygame.draw.rect(screen, terminal_color,(0,50,640,50),0)
    t=FONT.render(text,True,(255,255,255))
    screen.blit(t,(10,60))
def render_circle():
    pygame.draw.circle(screen, (0,0,0), circle_position, 20, 0)

def mouse_in_terminal_window(pos):
    if 0<=pos[0]<=640 and 50<=pos[1]<=100:
        return True
    return False


while True:
    for event in pygame.event.get():
        on_event(event)
    on_render()