Project Euler # 44 Pentagon numbers in Python
This is an answer focused primarily about styling


Your parameter names can be renamed to be more specific, like generate_pentagons(n) can be rewritten to generate_pentagons(number_of_pentagons). This change can also be implemented in the get_pentagons method. While this may seem useless in this program, since n can be easily interpreted as the number of pentagons to generate, it's a good practice to follow when you start writing large programs that require more specific parameter names.
Parameter constants should be UPPERCASE.
You don't use i in your loop in generate_pentagons method. To avoid generating an unused variable, you can use an underscore. The _ immediately signals the reader that the value is not important.


Final Code

from time import time


def generate_pentagons(number_of_pentagons):
    """generates next n pentagons"""
    pentagons = (num * (3 * num - 1) // 2 for num in range(1, number_of_pentagons))
    for _ in range(number_of_pentagons - 1):
        yield next(pentagons)


def get_pentagons(number_of_pentagons):
    """Assumes n is a range &gt; 0. Generates pentagons that obey to the + - rules."""
    pentagons = set(generate_pentagons(number_of_pentagons))
    for pentagon1 in pentagons:
        for pentagon2 in pentagons:
            if pentagon1 + pentagon2 in pentagons and abs(pentagon1 - pentagon2) in pentagons:
                return pentagon1, pentagon2

if __name__ == '__main__':
    START_TIME = time()
    PENTAGON_1, PENTAGON_2 = get_pentagons(10000)
    print(abs(PENTAGON_1 - PENTAGON_2))
    print(f"Time: {time() - START_TIME} seconds.")