pl2, = plot(x2, y2, '.', alpha=0.1, label='plot2')
p1 = Rectangle((0, 0), 1, 1, fc=pl1.get_color())
p2 = Rectangle((0, 0), 1, 1, fc=pl2.get_color())
legend((p1, p2), (pl1.get_label(), pl2.get_label()), loc='best')
Matplotlib Legend for Scatter with custom colours