$ ./python -c 'N = 6000; from sys import getsizeof; s = [getsizeof(frozenset(range(n))) for n in range(N)]; print( [(n, s[n]) for n in range(N) if not n or s[n] != s[n-1]] )'

3.5:  [(0, 112), (6, 368), (22, 1136), (86, 4208), (342, 16496), (1366, 65648), (5462, 262256)]
3.6:  [(0, 112), (5, 368), (21, 1136), (85, 4208), (341, 16496), (1365, 65648), (5461, 262256)]
3.7:  [(0, 112), (5, 368), (19, 1136), (77, 4208), (307, 16496), (1229, 65648), (4915, 262256)]

$ ./python -c 'N = 6000; from sys import getsizeof; s = [getsizeof(frozenset(set(range(n)))) for n in range(N)]; print( [(n, s[n]) for n in range(N) if not n or s[n] != s[n-1]] )'

3.5:  [(0, 112), (6, 240), (8, 368), (16, 624), (32, 1136), (64, 2160), (128, 4208), (256, 8304), (512, 16496), (1024, 32880), (2048, 65648), (4096, 131184)]
3.6:  [(0, 112), (5, 368), (8, 624), (16, 1136), (32, 2160), (64, 4208), (128, 8304), (256, 16496), (512, 32880), (1024, 65648), (2048, 131184), (4096, 262256)]
3.7:  [(0, 112), (5, 368), (8, 624), (16, 1136), (32, 2160), (64, 4208), (128, 8304), (256, 16496), (512, 32880), (1024, 65648), (2048, 131184), (4096, 262256)]

frozenset(range(n)) is slightly larger in 3.7 than in 3.6. It is 4 times larger for about 10% of sizes.

frozenset(set(range(n))) is 2 times larger in 3.6 than in 3.5 for all sizes >= 16.