No, there is no other way. You covered it all. The way to go would be to raise this issue on the Python ideas mailing list, but be prepared to argue a lot over there to gain some traction.
Actually, just not to say “there is no way out”, a third way could be to implement one more level of lambda calling just to unfold the parameters – but that would be at once more inefficient and harder to read than your two suggestions:
min(points, key=lambda p: (lambda x,y: (x*x + y*y))(*p))
Python 3.8 update
Since the release of Python 3.8, PEP 572 — assignment expressions — have been available as a tool.
So, if one uses a trick to execute multiple expressions inside a lambda – I usually do that by creating a tuple and just returning the last component of it, it is possible to do the following:
>>> a = lambda p:(x:=p[0], y:=p[1], x ** 2 + y ** 2)[-1]
>>> a((3,4))
25
One should keep in mind that this kind of code will seldom be more readable or practical than having a full function. Still, there are possible uses – if there are various one-liners that would operate on this point, it could be worth to have a namedtuple, and use the assignment expression to effectively “cast” the incoming sequence to the namedtuple:
>>> from collections import namedtuple
>>> point = namedtuple("point", "x y")
>>> b = lambda s: (p:=point(*s), p.x ** 2 + p.y ** 2)[-1]