a|b would be the obvious choice, because it already works for set:

    {1,2}|{2,3} == {1,2,3}

I guess the reason they went for the weird {∗∗a, ∗∗b} syntax is that it is not a commutative operation.

Correct. This is called orthogonality. I just used it now to discover that this same syntax works for both sets and lists (using * instead of )

  >>> s1 = {'a', 'b', 'c'}
  >>> s2 = {1, 2, 3}
  >>> {*s1, *s2}
  {'b', 1, 2, 3, 'c', 'a'}

  >>> l1 = ['a', 'b', 'c']
  >>> l2 = [1, 2, 3]
  >>> [*l1, *l2]
  ['a', 'b', 'c', 1, 2, 3]