This is entirely possible, as I just tested it in WordPress.
- Create your unordered list
- Add four items: “First list,” “Second list,” “Sub Second List,” “Third List”
- Place the cursor on “Sub Second List” and click Indent (you will need to expand the kitchen sink to access the indent button
- With the cursor still on “Sub Second List,” click Unordered List
Following the steps above will produce the following markup:
<ol>
<li>First List</li>
<li>Second List
<ul>
<li>Sub Second List</li>
</ul>
</li>
<li>Third List</li>
</ol>