Python if-else mess

Is there a cleaner way to create msg? For each event (Ping, Pull request, Issue, Issue comment, Repo, Create, Delete, Pull requset review, Push, Commit comment) is there an if clause that checks the event and creates a message according to it's action.

    data = request.json
    event = request.headers['X-Github-Event']
    msg = ""

    ...

   # Pull request
   elif event == "pull_request":
       if data['action'] == "opened":
           msg = PullRequest(data).opened()
       elif data['action'] == "closed":
           msg = PullRequest(data).closed()
       elif data['action'] == "assigned":
           msg = PullRequest(data).assigned()

   # Issue
   elif event == "issues":
        if data['action'] == "opened":
            msg = Issue(data).opened()
        elif data['action'] == "reopened":
            msg = Issue(data).reopened()
        elif data['action'] == "closed":
            msg = Issue(data).closed()
        elif data['action'] == "labeled":
            msg = Issue(data).labeled()
        elif data['action'] == "assigned":
            msg = Issue(data).assigned()
    ...