I have the exact same problem. I have some X and Y values, on which I run a Gaussian regression (by scikit-learn) in order to be able to recall it within the Bayesian calibration for which I use PyMC3.
The error message I receive is the following:
File ~\anaconda3\envs\pymc3_venv\lib\site-packages\sklearn\gaussian_process_gpr.py:371 in predict
X = self._validate_data(X, ensure_2d=ensure_2d, dtype=dtype, reset=False)
File ~\anaconda3\envs\pymc3_venv\lib\site-packages\sklearn\base.py:566 in _validate_data
X = check_array(X, **check_params)
File ~\anaconda3\envs\pymc3_venv\lib\site-packages\sklearn\utils\validation.py:746 in check_array
array = np.asarray(array, order=order, dtype=dtype)
ValueError: setting an array element with a sequence.