Пример. Класс с вложенным конструктором
#include<iostream>
using namespace std;

class Cls01
{
int *a;
double *b;
public:
Cls01 (int p1, double p2)
{
a=new int (p1);
b=new double (p2);
}
~Cls01()
{
delete a; cout<<"Delete a"<<endl;
delete b; cout<<"Delete b"<<endl;
}
void out_ab()
{
cout<<"a="<<*a<<"b="<<*b<<endl;
}
};

class Cls02
{
Cls01 x,y;
public:
Cls02 (int, double, int, double);
void out_xy()
{
x.out_ab();
y.out_ab();
}
};

Cls02::Cls02 (int l1, double l2, int l3, double l4): x (l1, l2), y (l3,l4)
{
}

void main()
{
Cls02 s(10, 1.2, 20, 2.5);
s.out_xy();
}