tuple(sorted(s)) and if you can't even sort the values, they're probably not hashable. I get that this involves a copy, but so does frozenset, and you can cross that bridge in various ways if it's ever a problem.
I'm not saying the problem with tuple doesn't exist, but that there doesn't need to be a built-in way to deal with it. If for some unfortunate reason you've got a mixed-type set that you also want to use as a dict key, you can write a helper.
I have crossed that bridge, and I'm telling you (again) that a sorted tuple is not a generic solution.