You can install Python 3.10.11 for ARM64 Windows from Nuget here. You have to download the package manually, extract it (.nupkg files are just .zip files) and add the tools directory to your PATH.
There are patches in main which are getting cherry-picked to release branches that will allow installing Python with Swift in the GUI installer. lldb will also print a proper warning if python.dll cannot be found. The status of the cherry-picks are updated here.
The latest 6.2.3 lldb.exe has been linked to depend directly on python39.dll as seen in Dependency Walker: app.
Solution.
After you manually install the 3.10.11 for ARM64 from Nuget above and tweak the python paths, you need to duplicate python310.dll as python39.dll.
lldb will now run on the windows arm.
Renaming python310.dll to python39.dll can cause some issues even if lldb starts fine.
The proper fix is to install python 3.9 for arm64 from Nuget. You can have 3.10 and 3.9 both in the PATH.
In the 6.3 release, lldb will late load Python 3.10 instead of 3.9. Please see #85696.
I was able to overcome this challenge on Windows today by:
a) Open PowerShell and b) run:
winget install Python.Python.3.9