Pretty much nothing does nested collections, AFAIK. (I am speaking of builtin firmware for dedicated ereaders.)
Kobos don't, Nooks don't, Kindles don't, Sonys don't...
Though, actually, you can put a collection inside another collection on the Kindle, if you have an older device that runs a pre-Cloud Collections firmware, AND you are jailbroken and use the Collections Manager hack.
My old Kindle Touch handles all that just fine.
Honestly, I don't usually bother even though I *can* do it. I just dump all the collections in the main view. They're all uniquely named anyway.