The short form is as follows (called dict comprehension, as analogy to the list comprehension, set comprehension etc.):
x = { row.SITE_NAME : row.LOOKUP_TABLE for row in cursor }
so in general given some _container
with some kind of elements and a function _value
which for a given element returns the value that you want to add to this key in the dictionary:
{ _key : _value(_key) for _key in _container }