def func(df_a: pd.DataFrame, df_b: pd.DataFrame) -> (pd.DataFrame, pd.DataFrame):

Pylance is advising to modify this line with two solution proposed. What would be the pros and cons of each one if there is any significant difference?

Tuple expression not allowed in type annotation

Use Tuple[T1, ..., Tn] to indicate a tuple type or Union[T1, T2] to indicate a union type

2023 edit

In newer versions of Python (>=3.10), you should use:

• tuple[A, B, C] instead of Tuple[A, B, C] (yes, that's the built-in tuple function)
• A | B instead of Union[A, B]

The answer itself is still relevant, even if the newer style makes the difference between Tuple/tuple and Union/| more apparent.

Original answer

They mean different things:

• Tuple[A, B, C] means that the function returns a three-element tuple with the A B C data types:

def f() -> Tuple[str, int, float]:
    return 'hello', 10, 3.33

• Union[A, B] means that the function returns an object of either A or B data type:

import random 

def f() -> Union[str, int]:
    if random.random() > 0.5:
        return 'hello'
    else:
        return 10

In your case, it looks like you want to use Tuple[pd.DataFrame, pd.DataFrame].