I might not fully understand, but do you mean put an alias or two or three inside a new alias? Like nesting multiple aliases inside a new single alias so I can just have one firewall rule referencing the new alias with all the others nested in it?
If that's what you mean, I don't think I can do it. When I create a new alias I can only add Hosts, Networks, Ports, Urls, or GeoIPs items to it.
Maybe I'm misunderstanding though? I'm afraid to add a new alias using the same name as an existing alias though, for fear of overwriting the existing alias.