Yes "sub collections" (or categories) is something that has been requested for a long time. If you search around there is endless discussion on the issue, but in short the answer is not really, BUT in some circumstances you can "fake" that middle tier. 2 popular ways are:
2) If you simply want the middle tier in your menu, you create the sub collections like normal collections, and nest them (ie use drop down) in the menu so it appears like sub collections https://help.shopify.com/en/manual/sell-online/online-store/menus-and-links/drop-down-menus
All the best with it.