Dimitar,
HashSet works fine in Python/Dynamo:
Try this:
# Import Element wrapper extension methods
import clr
import System
# Load System.Core assembly that contains HashSet
clr.AddReference("System.Core")
from System.Collections.Generic import HashSet
# Create HashSet
myHashSet = HashSet[Autodesk.Revit.DB.ElementId]()
Then you can add items to it using the Add() method:
myHashSet.Add(someElementId)