I don't think you can do that.

I played around with it a bit, and found out the same things you no doubt did: when you try to add a footnote to an existing footnote, all it does is append the footnote number of the footnote you are trying to footnote to the existing footnote number of that footnote.

Since those footnote numbers are dynamic in nature, possibly that is why Word doesn't allow such shenanigans

tanstaafl.