Not possible I think. When you select the option to save site  content
you are choosing to save the immediate content of the site you are
making a template  of. Not any subsites  of that site.

If the site structure you are creating  is always going to be a web
application, you could use STSADM export and import.

Otherwise I think you would have to use Visual Studio and create  a
set of features and solutions to construct your site hierarchy. You
might be able to make use of custom site definitions to minimize the
amount of coding. Sounds like a lot of work.