You can put conditionals inside of other conditionals, for example, put an IF/THEN instruction inside of another IF/THEN, or put a SELECT inside of an IF/THEN which itself is inside of an IF/THEN. But, you'll need to use DO/END to help REXX distinguish nested conditionals (ie, which instructions go with which Conditional instruction).

Here we put an IF/THEN inside of another IF/THEN. 

IF My_Variable > 10 THEN DO
   IF My_Other_Variable = 10 THEN SAY "Both are at least 10."
END
Here we put an IF/THEN inside one of the WHEN/THEN Conditionals within a SELECT. Within this IF/THEN, we also put another IF/THEN. 
SELECT
   WHEN My_Variable = 10 THEN DO
      SAY "It's equal to 10."
      IF My_Other_Variable = 10 THEN DO
         IF print_me = 'YES' THEN SAY "And so is My_Other_Variable."
      END /* Goes with IF */
   END /* Goes with WHEN */
   WHEN My_Variable < 10 THEN SAY "It's less than 10."
   WHEN My_Variable < 20 THEN SAY "It's less than 20."
   OTHERWISE SAY "It must be > 19."
END /* Goes with SELECT */