This should work in all Affinity applications, so I used ADesigner to have a forum to post to.
1. E.g. create 2 ellipse so that you have 2 single layers.
2. Select the 2 elements and export them as WMF.
Result: Exported WMF is 3,32 KB big.
3. Move 1 element into the other.
4. Select the "remaining" element and export as WMF.
Result: Exported WMF is 1,09 MB big.
Attached a simple document to try yourself.
nesting-makes-bigger.afdesign