I have looked further into this issue and it seems that boost configuration scripts do not understand PEP-3149 and builds the include path with:
includes ?= $(prefix)/include/python$(version) ;
This does not take into account architecture modifiers such as "m" indicating that Python was built with its internal malloc. The include path on Python 3 from Anaconda is include/python3.5m and this prevents the build of boost.python.
The fix is to modify the generated project-config.jam file to add the include path explicitly. The using python directive takes a 3rd argument of an explicit include path that is not included by default. I now modify the jam file in the eupspkg.cfg.sh file after the configuration step to add the include path that I obtain from python itself. The change only triggers for python 3.