No, I don't think that it is supported. I'm not sure though if it is generally possbile.
To find out the truth, we need to look at different Specifications.
(Hint: All Page numbers in the following text are the page numbers a PDF reader reports, not the one on the bottom of the page.)
This documentation states, that Lightroom uses XMP for Storing development settings. It also states that Lr can write those Settings either in an XMP Sidecar file or directly into a supported file format and DNG is a supported type of file.
To find out what exactly is happening, we need to look at the DNG Specification.
Here ist the specification for DNG 1.4 as PDF.
XMP is only Mentioned on Page 14:
Additional metadata may be embedded in DNG in the following ways:
- Using TIFF-EP or EXIF metadata tags
- Using the IPTC metadata tag (33723)
- Using the XMP metadata tag (700)
This gives us an hint, that only one XMP-"Thingy" can be saved within an DNG File.
So next we need to look at the XMP Specification itself.
That one can be found here. Here is also a direct link to the core specification, which is essentially the ISO Standard 16684-1.
On page 12, in Chapter 6 "Data Model" it gets interesting. This chapter explains the concept of an XMP-"Packet", which within the context of my answer boils down to a sidecar-file.
A little bit later we read the following statement:
All properties in a single XMP packet shall describe a single resource. Separate XMP packets may describe the
same resource. Conflict resolution for separate packets that describe the same resource is beyond the scope
of this document.
This essentially tells us, that neither DNG nor XMP Specifications say anything specific about handling of multiple Sidecar-Files embedded in one DNG, so it seems to be totally unsupported.