To me that looks super easy to read. You just go left to right.

    for y in z:
        for x in zz:
            if y in x:
                yield x

It’s extremely easy to sight read. If the lines become long, just split them up and it’s even more obvious.

    [x
     for y in z
     for x in zz
     if y in x]

There’s nothing tricky about multiple loops and conditions in comprehensions in most languages that support them. Just go left to right and it mirrors outer to inner loops/conditionals.