You can get clean and clear solutions by building the appropriate predicates as helper functions. In other words, use the Python set-builder notation the same way you would write the answer with regular mathematics set-notation.
The whole idea behind set comprehensions is to let us write and reason in code the same way we do mathematics by hand.
With an appropriate predicate in hand, problem 1 simplifies to:
low_primes = {x for x in range(1, 100) if is_prime(x)}
And problem 2 simplifies to:
low_prime_pairs = {(x, x+2) for x in range(1,100,2) if is_prime(x) and is_prime(x+2)}
Note how this code is a direct translation of the problem specification, "A Prime Pair is a pair of consecutive odd numbers that are both prime."
P.S. I'm trying to give you the correct problem solving technique without actually giving away the answer to the homework problem.