from collections import OrderedDict

dicionario = {
    (0,0,0): ['0, 0, 0'],
    (0,0,1): ['0, 0, 1'],
    (0,0,2): ['0, 0, 2'],
    (0,0,5): ['0, 0, 5'],
    (0,1,0): ['0, 1, 0']
}

novo_dicionario = OrderedDict(sorted(dicionario.items(), key=lambda item: item[0][2]))

for key, value in novo_dicionario.items():
    print(key, value)