Please, note that Filter Menu is not a hierarchical menu system. It is a faceted search system, so all filters sit at the top level. Meaning also you can't have sub-categories, and sub-sub-categories nested under one top-level filter right away.
However, there are great options to navigate your customers down to each sub level.
To achieve this you need to create filter groups for all levels, for example, for continents, countries, cities and so on.
Then we can use Visibility options, in this scenario once we have filters created for all categories (Europe), subcategories (UK), and sub-subcategories (London) we can let customers to be able to search through and set visibility option in the way that subcategories and sub-subcategories will only appear when one of the parent filters is selected.
They select Europe, then the filter with countries (UK etc) appear, they select it and the filter with cities appear.
In this case, we will still be able to allow customers to filter and the matching search results based on filtering through all the collections you have if needed for particular filters (as searching particular size through all the locations).
Here is a guide on visibility options:
Let us know if you have additional questions!