If I am understanding your question correctly you are describing a nested multicore. To create this in VeSys 2.0 design create the multicore cable in the normal way then create the twisted pairs, once you have done this you will see that the twisted pairs are listed in the "Available" column, ensure the parent multicore is selected and you will find that you can add each of the twisted pairs into it.
Any problems let me know.
I see - Create the 'oval' multicore without adding any 'conductors'. Create the 'twisted pair' multicores and add the 'conductors' to them. Now select the 'twisted pair' multicores from the 'Available' column and add them to the 'oval' multicore.