How to create nested folders on home screen in Lollipop?
I've created a Scene in Tasker, loaded it using a task and created a shortcut using Task Shortcut widget to launch the scene. 


First image is showing a normal folder with some app shortcuts. See the folder icon titled "Nest". It is a task shortcut for the Scene.
Second image is the Scene created in Tasker which is launched from a shortcut . 


(Click image to enlarge)





To maintain consistency in appearance I took the background from Material Palette, cropped the color I wanted and loaded it into the Scene as background image. 
All the app icons are loaded using Image element in the Scene. 
Because it isn't a folder, so there is no drag and drop in it. 


As for how to create this scene, you can see YoutTube videos or search Tasker sub-reddit or the numerous websites filled with cool tutorials. You may consider my answer here to get a rough idea of how to create a Scene in Tasker and how to use it then.