Drupal 6 Views "No result behaviour" use a view
You can simulate this if you instantiate the view in code.  The general steps are


Make a custom block.
In the block view callback, instantiate and execute the view you want, but don't generate output.
Check the number of rows.  If zero, then repeat #2 with your alternate view.
Generate the output for the view, and add to the block output.
Use the block in place of the view where you need to.


If you do everything properly, all of your view templates will be used, so you aren't really losing anything.

All of the views related function are documented at drupalcontrib.org, but I think that is the Drupal 6, Views 3 version.  Googling on views_get_view will also get you started and should lead to examples of generating views with code.  If you have Advanced Help installed, you will also see some information there.

I have done something similar before, but I can't find the code.  I can remember, I will update the answer with some stubbed out code.