I guess you meant to save that as a script file ***.sh and then hit Cmd-R?
In that case I get:
Press Ctrl-R on the same line that you have:
echo $TM_PYTHON
The line is passed to the shell, and the results of the command are appended on the lines beneath it. Also useful is to execute "env" in this way. It'll show all the variables available to TextMate and their values.