tl;dr You are correct.
One usually takes the ordered pair $(a, b)$ to be an abbreviation for the set $\\{\\{a\\}, \\{a, b\\}\\}$, so if $a\in A$ and $b\in B$, then $\def\pow#1{{\mathcal P}{(#1)}} (a,b)\in\pow{\pow{A\cup B}}$, and the cartesian product $A\times B$ is a subset of $\pow{\pow{A\cup B}}$, which is a set by the union and power set axioms.
A function $f:A\to B$ is a subset of $A\times B\subset \pow{\pow{A\cup B}}$, and so is a set and also is an element of $\pow{\pow{\pow{A\cup B}}}$. The set $\mathcal F$ of all functions $f:A\to B$ is therefore a subset of $\pow{\pow{\pow{A\cup B}}}$ and is a set. The set of all continuous functions is a subset of $\mathcal F$, and is therefore a set, an element of $\pow{\pow{\pow{\pow{A\cup B}}}}$.