For reference, here is the output.
yocto:/# pip3 install pymavlink
Collecting pymavlink
Using cached https://files.pythonhosted.org/packages/5f/4e/985824701e53ec259d3898eb71c4d9211e643dd986ce74b8c71a32d6437c/pymavlink-2.4.15.tar.gz
Collecting future (from pymavlink)
Using cached https://files.pythonhosted.org/packages/45/0b/38b06fd9b92dc2b68d58b75f900e97884c45bedd2ff83203d933cf5851c9/future-0.18.2.tar.gz
Collecting lxml (from pymavlink)
Using cached https://files.pythonhosted.org/packages/e5/21/a2e4517e3d216f0051687eea3d3317557bde68736f038a3b105ac3809247/lxml-4.6.3.tar.gz
Complete output from command python setup.py egg_info:
Building lxml version 4.6.3.
Building without Cython.
Error: Please make sure the libxml2 and libxslt development packages are installed.
----------------------------------------
Command "python setup.py egg_info" failed with error code 1 in /var/volatile/tmp/pip-install-loh5dpgv/lxml/
You are using pip version 18.1, however version 21.0.1 is available.
You should consider upgrading via the 'pip install --upgrade pip' command.