Используя worksheet.write_column()
с xlsxwriter
>>> import xlsxwriter
>>> a = [['a','20','30'],['b','30','40']]
>>> cl1 = [i[0] for i in a] # ['a', 'b']
>>> cl2 = [','.join(i[1:]) for i in a] # ['20,30', '30,40']
>>> wbook = xlsxwriter.Workbook('Test.xlsx')
>>> wsheet = wbook.add_worksheet('Test')
>>> wsheet.write_column(0,0, cl1)
>>> wsheet.write_column(0,1, cl2)
>>> wbook.close()
Или
Вы можете использовать pandas pandas.DataFrame.to_excel
>>> import pandas as pd
>>> df = pd.DataFrame.from_dict({'Column1':cl1,'Column2':cl2})
>>> df
Column1 Column2
0 a 20,30
1 b 30,40
>>> df.to_excel('a_name.xlsx', header=True, index=False)