How to create nested folders in iCloud Documents?
I'm afraid not. iCloud is designed for iOS devices without a user accessible file system. iCloud files are strictly associated with apps and only allow one level of folder nesting.

If you're not happy with this, you can send feedback to Apple about it here: http://www.apple.com/feedback/icloud.html

You could use Dropbox instead (https://www.dropbox.com/) which has more flexibility around file organisation. The downside is that you only get 2GB free but you can earn more free storage in various ways. Google Drive (https://drive.google.com/start#home) gives you 5GB free.