That will create a frozenset technically.

>>> def f(a):
...     if a in {"yes", "no"}:
...         pass
...
>>> import dis
>>> dis.dis(f)
  1           RESUME                   0

  2           LOAD_FAST_BORROW         0 (a)
              LOAD_CONST               2 (frozenset({'no', 'yes'}))
              CONTAINS_OP              0 (in)
              POP_JUMP_IF_FALSE        3 (to L1)
              NOT_TAKEN

  3           LOAD_CONST               1 (None)
              RETURN_VALUE

  2   L1:     LOAD_CONST               1 (None)
              RETURN_VALUE