Can a sitemap index contain other sitemap indexes?
I'm not sure if this changed over the years since this was asked; while in theory you can (as the first answer states), in practice Google at least will give you an error (as seen in their Webmaster Tools):
Incorrect Sitemap index format: Nested Sitemap indexes
The Google help page further states:
A sitemap index file can't list other sitemap index files, but only sitemap files.
Source: https://support.google.com/webmasters/answer/7451001#errors (note you'll have to expand the 'complete error list')
Yes, you can have a sitemap index containing references to other sitemap indexes [source], as long as they're all on the same domain.
Updated: Sitemap index files can't contain other index files – each sitemap index can contain links to regular sitemaps. Multiple sitemap indexes can be submitted to Google individually, though.
Each individual sitemap index can include up to 1,000 references to another
<sitemap>. If you need to reference more than that, create multiple sitemap indexes and submit each one.
Each individual sitemap can include up to 50,000 page references. If you need more than that, split them across multiple sitemaps.