This is very odd:

1. Get the .py version of the CPX library: https://github.com/adafruit/Adafruit_CircuitPython_CircuitPlayground/releases/download/1.2.0/adafruit-circuitpython-circuitplayground-py-1.2.0.zip
2. Unzip it and put the adafruit_circuitplayground directory at the top level of CIRCUITPY
3. In the repl, try to import it. It's too big to compile, as expected. But note that the Memory Error: is incomplete.

Adafruit CircuitPython 2.2.1 on 2018-01-23; Adafruit CircuitPlayground Express with samd21g18
>>> from adafruit_circuitplayground.express import cpx
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
MemoryError: 
>>> 

4. Now move the adafruit_circuitplayground directory into the lib directory, and restart the board.
5. Import it again in the REPL:

Adafruit CircuitPython 2.2.1 on 2018-01-23; Adafruit CircuitPlayground Express with samd21g18
>>> from adafruit_circuitplayground.express import cpx
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
MemoryError: memory allocation failed, allocating 338 bytes

Note the differences in the exception message.

I've tried to make a simpler test case and haven't succeeded yet. T module's position on sys.path makes a difference. But it should not.