So,
We did a small POC and I can get 3 levels nesting in read_entry_data in Gateway 
If anyone needs an example, here is the sample JSON model we used for prototyping:
{
"employeeNumber": "00000001",
"employeeName": "Santi",
"Countries": [
{
"countryCode": "GB",
"countryName": "GreatBritain",
"Addresses": [
{
"houseNumber": "20 Old Bakery",
"postCode": "OX11JP"
},
{
"houseNumber": "28 Old Bakery",
"postCode": "OX11JP"
}
]
}
]
}