You are providing a string representation of a dict to the DataFrame constructor, and not a dict itself. So this is the reason you get that error.
So if you want to use your code, you could do:
df = DataFrame(eval(data))
But better would be to not create the string in the first place, but directly putting it in a dict. Something roughly like:
data = []
for row in result_set:
data.append({'value': row["tag_expression"], 'key': row["tag_name"]})
But probably even this is not needed, as depending on what is exactly in your result_set you could probably:
DataFrame(result_set)read_sql_query function to do this for you (see docs on this)