The ArcPy Geometry classes support curves, at least the internal data structures do. Unfortunately, none of their constructors support curves, and several of their properties also don't work well with curves. The following StackExchange thread demonstrates a way to do it: Can ArcPy 10.1 be used to generate true curve elliptical polygons in a file geodatabase? Basically, you use Esri JSON and arcpy.AsShape to create the geometry:
>>> esri_json = {
... "curvePaths": [[
... [1,5],
... {"c": [[7,3], [6,2]]}
... ]],
... "spatialReference": {"wkid": 0}
... }
...
>>> ln = arcpy.AsShape(esri_json, True)
>>> arcpy.CopyFeatures_management(ln, 'in_memory/tmpFC')
<Result 'in_memory\\tmpFC'>
>>>
If you are going to take this approach, I encourage you to read the Geometry objects section of the ArcGIS REST API. The Geometry objects section explains the syntax for working with the various curved objects. Also, always define a spatial reference with the Esri json because not doing so causes some really strange behaviors with the geometry objects that are created.