I know that for example MySQL implement nested query.
Is it a standard SQL feature, if such a standard exists?
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Yes, there exists an SQL standard, first formalized by ANSI in 1986, and the revised in 1989, 1992, 1999, 2003. You can follow the links from the Wikipedia page on SQL.
Here’s a direct link to a copy of the SQL-92 standard.
Subqueries (nested queries) are in it, of course.