If I understand your question correctly, you are asking what is most idiomatic to use in this situation. (Performance and memory-efficiency have virtually no importance here, since you said you are only doing this once.)
The answer is that for most of Python's existence, people tended to use tuples for throwaway constants to iterate over, mainly because of the habit to use something immutable when there is no intention of mutating it.
[Edit: Got rid of some irrelevant stuff about sets. I was too eager to shoehorn it into the answer when it didn't actually contribute.]
Note that there is a sometimes vocal minority that insists on list. The rationale for this is that lists were originally conceived as the "array" type for Python, while tuples were the "record" type. That is, lists were meant for holding multiple objects of a single type (like a collection of test scores) whereas tuples were meant for holding arbitrary related objects (like name, address, and phone number). Strict adherence to this is kind of archaic and quaint now, though.