多亏了@NoobVB，我被指引了正确的方向：write_rich_string。找到了这个great article，它把它描述成一本食谱，并把它变成了一个工作解决方案：

import pandas as pd
from pandas.io.excel._xlsxwriter import XlsxWriter

class RichExcelWriter(XlsxWriter):
    def __init__(self, *args, **kwargs):
        super(RichExcelWriter, self).__init__(*args, **kwargs)

    def _value_with_fmt(self, val):
        if type(val) == list:
            return val, None
        return super(RichExcelWriter, self)._value_with_fmt(val)

    def _write_cells(self, cells, sheet_name=None, startrow=0, startcol=0, freeze_panes=None):
        sheet_name = self._get_sheet_name(sheet_name)
        if sheet_name in self.sheets:
            wks = self.sheets[sheet_name]
        else:
            wks = self.book.add_worksheet(sheet_name)
            #add handler to the worksheet when it's created
            wks.add_write_handler(list, lambda worksheet, row, col, list, style: worksheet._write_rich_string(row, col, *list))
            self.sheets[sheet_name] = wks
        super(RichExcelWriter, self)._write_cells(cells, sheet_name, startrow, startcol, freeze_panes)

writer = RichExcelWriter('sample.xlsx')
workbook = writer.book
bold = workbook.add_format({'bold': True})

df = pd.DataFrame([["Hello world."], [["Hello", bold, "bold", "world."]]], columns = ["example"])

df.to_excel(writer, sheet_name='Sample', index=False)
writer.save()

这是目前为止我想出来的最简单的方法。