Yes, I think this is much easier to follow. But the whitespace is still difficult. How about:
```python
        jobs = (delayed(_path_residuals)(X, y, train, test, self.path,
                                         path_params, alphas=this_alphas,
                                         l1_ratio=this_l1_ratio, X_order='F',
                                         dtype=np.float64)
                for this_l1_ratio, this_alphas in zip(l1_ratios, alphas)
                for train, test in folds)
        mse_paths = Parallel(n_jobs=self.n_jobs, verbose=self.verbose)(jobs)
```
? I don't think `all_` is necessary, is it?