Is this a hypergraph? Here is the problem is want to solve: 

I want to connect nodes with directed labelled edges, but this two nodes are potentially themselves graphs, hypergraphs or the current structure I don't have a name for.

Here is a simple example with a graph $(v_1,e_1,v_2)$ where nodes $v_1$ and $v_2$ are connected by $e_1$. I want to have the following structure:
$((v_1,e_1,v_2),e_2,(v_3,e_3,v_4))$

in this case, the $v_i$ hold a single value (i.e. classical graph nodes)

What I don't know is:


What is the name of such a structure ?
If it's a well known data structure, are there some efficient implementations ?
No, this isn't a hypergraph.  I don't think it has a standard "name".  Call it whatever you like: as long as you define your terms clearly, you should be fine.

Yes, you can implement this efficiently using any standard data structure for representing graphs: e.g., adjacency lists.  Each node of the "outer" graph will contain a pointer to a data structure that describes the "inner" graph it represents.