I want to create a large list containing 20,000 points in the form of:
[[x, y], [x, y], [x, y]]
where x and y can be any random integer bet
An approach that avoids while loops with unknown iteration counts and avoids storing huge lists in memory is to use random.sample to produce unique encoded values from a single range (in Py3) or xrange (in Py2) to avoid actually generating huge temporaries; a simple mathematical operation can split the "encoded" values back into two values:
import random
xys = random.sample(range(1001 * 1001), 20000)
[divmod(xy, 1001) for xy in xys] # Wrap divmod in list() if you must have list, not tuple