movie_sub_themes = {
'Epic': ['Ben Hur', 'Gone With the Wind', 'Lawrence of Arabia'],
'Spy': ['James Bond', 'Salt', 'Mission: Impossible'],
'Superhero': ['The Dark Knight Trilogy', 'Hancock, Superman'],
'Gangster': ['Gangs of New York', 'City of God', 'Reservoir Dogs'],
'Fairy Tale': ['Maleficent', 'Into the Woods', 'Jack the Giant Killer'],
'Romantic':['Casablanca', 'The English Patient', 'A Walk to Remember'],
'Epic Fantasy': ['Lord of the Rings', 'Chronicles of Narnia', 'Beowulf']}

movie_themes = {
'Action': ['Epic', 'Spy', 'Superhero'],
'Crime' : ['Gangster'],
'Fantasy' : ['Fairy Tale', 'Epic Fantasy'],
'Romance' : ['Romantic']}

themes_keys = movie_themes.keys()
theme_movies_keys = movie_sub_themes.keys()

#Iterate in movie_themes
#Check movie_themes keys in movie_sub_keys
#if yes append the movie_sub_keys into the newdict
newdict = {}
for i in range(len(themes_keys)):
   a = []
   for j in range(len(movie_themes[themes_keys[i]])):
     try:
         if movie_themes[themes_keys[i]][j] in theme_movies_keys:
            a.append(movie_sub_themes[movie_themes[themes_keys[i]][j]])
     except:
         pass
   newdict[themes_keys[i]] = a

# newdict contains nested lists
# Program to unpack the nested list into single list
# Storing the value into theme_movies_data
theme_movies_data = {}
for k, v in newdict.iteritems():
    mylist_n = [j for i in v for j in i]
    theme_movies_data[k] = dict.fromkeys(mylist_n).keys()

print (theme_movies_data)

{'Action': ['Gone With the Wind', 'Ben Hur','Hancock, Superman','Mission: Impossible','James Bond','Lawrence of Arabia','Salt','The Dark Knight Trilogy'],
 'Crime': ['City of God', 'Reservoir Dogs', 'Gangs of New York'],
 'Fantasy': ['Jack the Giant Killer','Beowulf','Into the Woods','Maleficent','Lord of the Rings','Chronicles of Narnia'],
 'Romance': ['The English Patient', 'A Walk to Remember', 'Casablanca']}