I was wrong answer: "Outer transaction is still open....rolling back... ".
I learned that my wrong answer can be obtained with a SAVEPOINT:
CREATE TABLE MyTable (MyId INT IDENTITY (1,1),
BEGIN TRANSACTION OuterTran
INSERT INTO MyTable VALUES ('Boston')
BEGIN TRANSACTION InnerTran
SAVE TRAN InnerTranSavePoint -- NEW CODE: SAVEPOINT
INSERT INTO MyTable VALUES ('London')
ROLLBACK TRAN InnerTranSavePoint -- MODIFIED CODE: RETURN TO SAVE TRAN
IF (@@TRANCOUNT = 0)
PRINT 'All transactions were rolled back'
PRINT 'Outer transaction is still open....rolling back...'
ROLLBACK TRANSACTION OuterTran
DROP TABLE MyTable