Hi @Arthur Sava ,
Are you hosting your python code in an app service? A function app? Logic app? The speed issue, does occur across all sites or certain sites? Where are the downloaded files being stored? Have you stepped through this troubleshooting doc?
To answer your question, upgrading your app service plan can help but it's dependent on if the library is consuming a lot of CPU cycles or has high memory allocation. Then again, the speed differential could be IO bound. After reviewing the troubleshooting doc if you haven't already, I would enable App Insights to get better telemetry on which operations are taking the most amount of time.