Fond Memories of Past Primes

Pyth, 22 bytes

f&}TPTqQlf}YPY{sMP.:`T

Demonstration, Test Harness

Explanation:

f&}TPTqQlf}YPY{sMP.:`T
                          Implicit: Q = eval(input())
f                         Starting at T=1 and counting up, return the first T where
                    `T    repr(T)
                  .:      all substrings
                 P        except T itself
               sM         converted to integers
              {           unique examples only
         f                filter on
          }YPY            Y is in the prime factorization of Y, e.g. Y is prime.
      qQl                 Q == len of the above, that is, T has memory Q,
 &}TPT                    and T is prime, (is in its prime factorization.)

CJam, 33 31 30 bytes

1{)__mp*{_mp2$s@s#)*},,easi^}g

This is a full program that reads the input as a command-line argument.

Try it online in the CJam interpreter.

Test run

$ time cjam <(echo '1{)__mp*,{_mp2$s@s#)*},,easi^}g') 9
11317
real    0m3.562s
user    0m4.065s
sys     0m0.177s

How it works

1       e# Push I := 1 on the stack.
{       e# Do:
  )__   e#   Increment I and push two copies.
  mp*   e#   Check the last copy for primality and multiply with the first copy.
        e#   This pushes R := I if I is prime and R := 0 if it is composite.
  {     e#   Filter; for each J in [0 ... R-1]:
    _mp e#     Push a copy of J and check for primality.
    2$s e#     Push a copy of I and cast to string.
    @s  e#     Rotate the original J on top of the stack and cast to string.
    #   e#     Find the index (-1 if not found) of the latter in the former.
    )*  e#     Increment the index and multiply it with the result from `mp'.
        e#     This yields 0 iff J is composite or not a subtring of I.
  },    e#   Keep J if the product is non-zero.
  ,     e#   Push the length of the filtered range.
  easi  e#   Cast the array of command-line arguments to string, then to integer.
  ^     e#   XOR it with the length of the filtered range.
}g      e# Repeat while theresult is non-zero.

CJam, 40 bytes

li2sa{_)\{1$\#)},,3$-}{i{)_mp!}gsa+}w]W=

Try it online

I'm sure this comes as a big shocker, but it is in fact longer than the solution Dennis posted. Well, not really, since I didn't even have very high hopes myself. But I wanted to give it a shot anyway. And since it's working, looks pretty reasonable to me, and I believe it is sufficiently different to at least be of some interest, I thought I'd post it anyway.

The basic idea here is that I build a list of prime numbers in a loop, adding the next larger prime number to the list in each step. To check for termination, I count how many elements other than the last element in the list are a substring of the last element. If this count is equal to the input n, we're done.

Explanation:

li    Get input and convert to integer.
2sa   Seed list of primes with ["2"]. The primes are stored as strings to make
      the later substring search more streamlined.
{     Start of while loop condition.
  _   Copy list of primes.
  )     Pop off last prime from list.
  \     Swap remaining list to top.
  {     Start of filter block for substring matches with all smaller primes.
    1$    Copy test prime to top.
    \     Swap the smaller prime to top to get correct order for substring search.
    #     Search.
    )     Increment to get truthy value (Search returns -1 if not found).
  },    End of filter. We have a list of smaller primes that are substrings now.
  ,     Count list entries.
  3$    Copy input n to top.
  -     Subtract the two for comparison. If they are different, continue loop.
}     End of while loop condition.
{     Start of while loop body. We need to generate the next prime.
  i     The largest prime so far is still on the stack, but as string.
        Convert it to integer.
  {     Start of loop for prime candidates.
    )     Increment current candidate value.
    _mp   Check if it is prime.
    !     Negate, loop needs to continue if it is not a prime.
  }g    End loop for prime candidates. On exit, next prime is found.
  sa+   Convert it to string, and add it to list of primes.
}w    End of while loop body.
]W=   Solution is at top of stack. Discard other stack entries.