Looks nice, did you consider the following approach?

client = Lol::Client.new "my_api_key", "euw", {cache_store: Lol::CacheStores::Redis.new(server: "redis://localhost:6379", ttl: 900)}

I prefer to hide the CacheStore selection in the Client class and have it recognize the type of url you're passing.

What do you think of this approach?

for Python/Flask http://flask-kvsession.readthedocs.org/en/latest/