How to add a nested Web.config file?

If all you want is nesting, you could just open your csproj file in a text editor and change this:

<None Include="Web.Staging.config" />

to this:

<None Include="Web.Staging.config">
  <DependentUpon>Web.config</DependentUpon>
</None>

Take a look at this blog.

Specifically:

To add configuration specific transform file (e.g. Web.Staging.Config) you can right click the original web.config file and click the context menu command “Add Config Transforms”