I'd collect keys only for the first object, then assume that the rest of the format is consistent.
The following code also limits the nested object to just one; you did not specify what should happen when there is more than one. Having two or more nested structures of equal length could work (you'd 'zip' those together), but if you have structures of differing length you need to make an explicit choice how to handle those; zip with empty columns to pad, or to write out the product of those entries (A x B rows, repeating information from A each time you find a B entry).
import csv
from operator import itemgetter
with open(outputfile, 'wb') as outf:
writer = None # will be set to a csv.DictWriter later
for key, item in sorted(data.items(), key=itemgetter(0)):
row = {}
nested_name, nested_items = '', {}
for k, v in item.items():
if not isinstance(v, dict):
row[k] = v
else:
assert not nested_items, 'Only one nested structure is supported'
nested_name, nested_items = k, v
if writer is None:
# build fields for each first key of each nested item first
fields = sorted(row)
# sorted keys of first item in key sorted order
nested_keys = sorted(sorted(nested_items.items(), key=itemgetter(0))[0][1])
fields.extend('__'.join((nested_name, k)) for k in nested_keys)
writer = csv.DictWriter(outf, fields)
writer.writeheader()
for nkey, nitem in sorted(nested_items.items(), key=itemgetter(0)):
row.update(('__'.join((nested_name, k)), v) for k, v in nitem.items())
writer.writerow(row)
For your sample input, this produces:
COUNTRY,ITW,VENUE,RACES__NO,RACES__TIME
HAE,XAD,JOEBURG,1,12:35
HAE,XAD,JOEBURG,2,13:10
HAE,XAD,JOEBURG,3,13:40
HAE,XAD,JOEBURG,4,14:10
HAE,XAD,JOEBURG,5,14:55
HAE,XAD,JOEBURG,6,15:30
HAE,XAD,JOEBURG,7,16:05
HAE,XAD,JOEBURG,8,16:40
ABA,XAD,FOOBURG,1,12:35
ABA,XAD,FOOBURG,2,13:10
ABA,XAD,FOOBURG,3,13:40
ABA,XAD,FOOBURG,4,14:10
ABA,XAD,FOOBURG,5,14:55
ABA,XAD,FOOBURG,6,15:30
ABA,XAD,FOOBURG,7,16:05
ABA,XAD,FOOBURG,8,16:40