Yes you can try to do that, however it is going to create couple of virtual adapters inside the VDI Machine, hence the connection server will get confuse to which NIC it needs to communicate. In this situation you can do the below to test
1. Create a manual desktop pool and add only one VM
2. Use the below article to have more than one NIC in the VDI,
Configure a Virtual Machine with Multiple NICs for Horizon Agent
But my question is why do you want to do that, as your VDI machine will have the limited resources and when you create the VM inside the workstation your VDI machine will run out of resource.
