You can create nested labels in Gmail with the help Google Apps Script using the createLabel method of the GmailApp service. The important thing to note is that the parent label should exist before a child label is created.

You can specify the label hierarchy in this format - Parent/Child/Grandchild/GreatGrandChild. Also avoid using dashes - in the name as they are seen as label separators in Gmail.

function createNestedGmailLabel() {
  var name = 'Parent Label/Child Label/Grandchild Label';
  var labels = name.split('/');
  var gmail,
    label = '';

  for (var i = 0; i < labels.length; i++) {
    if (labels[i] !== '') {
      label = label + (i === 0 ? '' : '/') + labels[i];
      gmail = GmailApp.getUserLabelByName(label) ? GmailApp.getUserLabelByName(label) : GmailApp.createLabel(label);
    }
  }

  return gmail;
}