It is suggested to employ if/else, the new pattern matching feature, or functional decomposition rather than nesting exceptions.
Pattern matching will look syntactically cleaner.
Exceptions are slow (only when an exception is caught) compared to conditionals and/or pattern matching.
But sometimes catching exceptions is the only way; and in those cases I think it's easier to read them nested; just like nested conditionals.
A contrived bad code example:
try:
f()
except TypeError:
log.info("isinatance conditionals are faster")
except ConnectionError try:
retry()
except KeyboardInterrupt as e try:
flush()
except Exception as e:
log.exception(e)