Ryan Siddle, an SEO, asked John Mueller of Google if Google supports nested XML sitemap index files. The answer is no, Google does not support it. John said on Twitter "no, it's not supported -- sorry."
Here are those tweets:
Having the XML Sitemap Index of Sitemap Index URLs would enable new categories to be automatically discovered (some contain tens of millions of pages) without submitting the Sitemap Index files for each new category.
— Ryan Siddle (@ryansiddle) November 11, 2020
😣
— Ryan Siddle (@ryansiddle) November 11, 2020
But Google does have a help document on how to split up your large sitemap files.
It does not appear Google will be supporting this method any time soon either.
Forum discussion at Twitter.