hi @phgoddard!
Have you seen this post?
https://support.prodi.gy/t/does-prodigy-supports-hierarchical-annotation/1249/2
You may have seen it, but we have a similar write-up of how to nest labels in our documentation.
Also, if you have a lot of sub-label names (e.g., 10-20), you may find the text_input and its field_suggestions to be helpful instead of listing out all sub-labels in the choice interface. Adding field_suggestions can allow you to have a box with auto-suggest and auto-complete to fill in answers. However, it's worth noting that providing too many labels, may have its limits too.
https://support.prodi.gy/t/best-way-to-customize-choice-interface-to-manage-200-labels/4357/2
Hope this helps!