(note that I don't actually know what these clauses are called, and will change the title if necessary)
Let's start simple, without any chaining.
Kion volas mi?
What do I want? How about making this a little more verbose?
Kio estas tio, kion volas mi?
What is that which I want? What about what you think I want?
Kio estas tio, kion pensas vi, kion volas mi?
Ah, the chaining is beginning to show. How about some more verbosity?
Kio estas tio, kion pensas vi, kio estas tio, kion volas mi?
Now this is starting to look chainable! The question is, however, whether this is actually grammatically valid or not. This is almost definitely something that would not be readily understandable by most, so this question is in terms of grammaticality only. The intent of this question is to be able to express things like the following.
What do you think that he thinks that she thinks that they think that I want?
Again, this is just for grammatical fun rather than actual communication, but if there is a more "kutima" way of expressing something like this, you may include that in your answer.