One may use the Wizard or a DMX CREATE MODEL statement to create a structure/model.
With regard to the Wizard:
"A mining structure that is based on a cube requires different steps to construct than a mining structure that is based on a relational data source". You may only use nested tables "when sourcing from a existing relational database or data warehouse" (per http://technet.microsoft.com/en-us/library/ms189687.aspx)
All of the above begs the issue of "Why would anyone data mine anything but a relational DB????" It seems to me that nested tables would only ever come into play if you were using a relational source.