You should tell py2app to link to your Python 2.6 install rather than the system 2.5/2.4 install. Also ensure it is creating a complete bundle (i.e. embeds your preferred python in the final distribution).
I couldn't say how you do that, sorry (though my day-job is developing financial apps on MacOS which are deployed on Linux).
I ran into a similar issue with py2exe on Windows.