Transitions triggered by sets of events
Technically, a transition has to be an atomic event (in the context of formal languages, the reading of a symbol). That said, there are two situations in which you could imagine something different: 

1) You could use a set of symbols as an abbreviation of multiple alternative transitions from one state to the other, or a string of symbols as an abbreviation of a sequence of transitions that happen one after the other. In fact, a number of different abbreviations are commonly used when dealing with finite automata on practical situations. 

2) You could have a language whose symbols have an internal structure (for instance, they are encodings of sets). Of course, this internal structure should be transparent to the formal treatment of the language.

As with any alternative representation of a formal expression, these variations should be used when their understanding is clear, from definition, or context.