Python has an ordered dictionary. What about an ordered set?
As others have said, OrderedDict is a superset of an ordered set in terms of functionality, but if you need a set for interacting with an API and don't need it to be mutable, OrderedDict.keys() is actually an implementation abc.collections.Set:
import random
from collections import OrderedDict, abc
a = list(range(0, 100))
random.shuffle(a)
# True
a == list(OrderedDict((i, 0) for i in a).keys())
# True
isinstance(OrderedDict().keys(), abc.Set)
The caveats are immutability and having to build up the set like a dict, but it's simple and only uses built-ins.