How to create a theme customizer ‘sub’ panel?

You create Panels, and put Sections inside those Panels.

So if you have your panel:

$wp_customize->add_panel( 'panel_id', array(
 'priority'       => 10,
  'capability'     => 'edit_theme_options',
  'theme_supports' => '',
  'title'          => __('Theme Options', 'mytheme'),
  'description'    => __('Several settings pertaining my theme', 'mytheme'),
) );

Then you need to add your sections:

$wp_customize->add_section( 'header_settings', array(
    'priority'       => 10,
    'capability'     => 'edit_theme_options',
    'theme_supports' => '',
    'title'          => __('Header Settings', 'mytheme'),
    'description'    =>  __('Header elements configuration', 'mytheme'),
    'panel'  => 'panel_id',
) );

$wp_customize->add_section( 'footer_settings', array(
    'priority'       => 10,
    'capability'     => 'edit_theme_options',
    'theme_supports' => '',
    'title'          => __('Footer Settings', 'mytheme'),
    'description'    =>  __('Footer elements configuration', 'mytheme'),
    'panel'  => 'panel_id',
) );

Regular sections are “sub” panels. Then you add your settings to your sections, and you are done.