Unfortunately at the moment that isn’t really possible. You can set up the posts manually or via a custom UI to have the right parentage, but the permalinks will not work, defeating the point. What’s more even if it did work, after the first event, you’d have clashing permalinks, and wordpress would rename your second venue subpage to venue_2 to prevent collisions.
But there is an alternative means of getting exactly what you want! You can use custom endpoints to modify the rewrite rules so that you can have additional components to an events URL. You can then check for these in the events template and display something different.
See here for an in depth answer to another question about endpoints and how to use them:
e.g.
add_rewrite_endpoint('venue', array(EP_NONE));
and in your theme template for events, probably single-event.php:
global $wpquery;
if(isset($wpquery->query_vars['venue'])){
// display the venue stuff
} else {
// display the normal event stuff
}
You can then add an editor for the venue etc to the events post type, and do an if statement in your events template checking for the endpoint ( as demonstrated in the link ), and display the custom field instead of the main event content.