I've been searching here and there, and based on this answer I've put together what you see below.
It works, but I need to put some stuff in the user's session, right there inside authenticate.
How would I store acme_token in the user's session, so that it will get cleared if they logged out? 
class AcmeUserBackend(object):
    # Create a User object if not already in the database?
    create_unknown_user = False
    def get_user(self, username):
        return AcmeUser(id=username)
    def authenticate(self, username=None, password=None):
        """ Check the username/password and return an AcmeUser. """
        acme_token = ask_another_site_about_creds(username, password)
        if acme_token:
            return AcmeUser(id=username)
        return None
 ##################
from django.contrib.auth.models import User
class AcmeUser(User):
    objects = None # we cannot really use this w/o local DB
    def save(self):
        """saving to DB disabled"""
        pass
    def get_group_permissions(self):
        """If you don't make your own permissions module,
           the default also will use the DB. Throw it away"""
        return [] # likewise with the other permission defs
    def get_and_delete_messages(self):
        """Messages are stored in the DB. Darn!"""
        return []