There is no issue with nested switch statements. You just need to use the correct syntax.
You need to tell the switch command "what" you are wanting to switch.
switch $A ; I want to check variable $A
case "apple" ; does variable $A = "apple"?
msgbox(0,"","","It's an apple") ; tell me it's an apple
case "banana" ; does variable $A = "banana"
msgbox(0,"","","It's a banana") ; tell me it's a banana
case "car" ; does variable $A = "car"
switch $B ; I want to check variable $B
case "audi" ; does variable $B = "audi"
msgbox(0,"","","Your car is an audi") ; tell me it's a car and an audi
case "bmw" ; does variable $B = "bmw"
msgbox(0,"","","Your car is a bmw") ; tell me it's a car and a bmw
endswitch ; finish testing variable $B
endswitch ; finish testing variable $A