you are looking for substack

\mathbb{E}}_{\substack{x \in p_{data}(x)\\z \in p_{z}(z)}}

There are three different specific ways to do this (one command substack and one environment subarray with at least two different alignment options l and c), provided by the package amsmath (see section 7.1 of the guide, at page 21). All of them work in inline math mode as well. To type your code, the package amssymb is necessary too (although \mathop{\mathbb{E}} is maybe redundant).

This code

\documentclass{article}
\usepackage{amsmath,amssymb}

\begin{document}
\[
\mathop{\mathbb{E}}_{\substack{x \in p_{data}(x),\\ z \in p_{z}(z)}}
\]

\[
\mathop{\mathbb{E}}_{\begin{subarray}{l}x \in p_{data}(x),\\ z \in p_{z}(z)\end{subarray}}
\]

\[
\mathop{\mathbb{E}}_{\begin{subarray}{c}x \in p_{data}(x),\\ z \in p_{z}(z)\end{subarray}}
\]
\end{document}

gives this output:

Instead of \mathop directive you can use the following:

$\mathbb{E}}_{x \in p_{data}(x),$

$z \in p_{z}(z)}$

Which will render this:

Another alternative

$\mathbb{E}}_{x \in p_{data}(x),$

$_{z \in p_{z}(z)}}$

which will render into: