I don't program in Python, but Perl does this with labels: OUTER: for (my $i=0; $i<10; $i++) { for (my $j=0; $j<10; $j++) { if (ignore_this_j($j)) { next; # Continues ...

Hypothetically, if __enter__ could be a generator, with the with body running for each yielded value, that would give us the power to implement class Loop: def __enter__(self): self._do_continue = ...