Here are some very simple test data that shows that for a very far-fetched example (storing "a" a million times using numbers as keys) using 2 dictionaries is significantly faster.
$ python -m timeit 'd = {i:{j:"a" for j in range(1000)} for i in range(1000)};a = [d[i][j] for j in range(1000) for i in range(1000)];'
10 loops, best of 3: 316 msec per loop
$ python -m timeit 'd = {(i, j):"a" for j in range(1000) for i in range(1000)};a = [d[i, j] for j in range(1000) for i in range(1000)];'
10 loops, best of 3: 970 msec per loop
Of course, these tests do not necessarily mean anything, depending on what you are trying to do. Determine what you will store, and then check.
A bit more data:
$ python -m timeit 'a = [(hash(i), hash(j)) for i in range(1000) for j in range(1000)]'
10 loops, best of 3: 304 msec per loop
$ python -m timeit 'a = [hash((i, j)) for i in range(1000) for j in range(1000)]'
10 loops, best of 3: 172 msec per loop
$ python -m timeit 'd = {i:{j:"a" for j in range(1000)} for i in range(1000)}'
10 loops, best of 3: 101 msec per loop
$ python -m timeit 'd = {(i, j):"a" for j in range(1000) for i in range(1000)}'
10 loops, best of 3: 645 msec per loop
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