Using nested git repositories in git is not possible and thus this also applies to git-annex. However, here is a good workaround that I found:

Rename the .git directory of the nested repo to dotgit (or similar), git annex add it and then create a symbolic link from .git to dotgit. It's important that the link is created only after the nested repo has been git annex add'ed. Also, the link needs to be created manually on each clone. Finally you'll need to hide the dotgit directory from the nested repo itself by adding /dotgit to dotgit/info/exclude.

mv nested/.git nested/dotgit; echo "/dotgit" >>nested/dotgit/info/exclude
git annex add nested; git commit -m "add nested"
cd nested; ln -s dotgit .git # needs to be done on every clone