I had to think about this for a minute. At first thought a moon of a moon didn’t seem to be possible as the gravity of the moon’s planet would certainly make an orbit around a moon unstable. But apparently if the moon is large enough, and separated enough from its planet, it can in theory have a moon. Saturn’s moons Titan and Iapetus, Jupiter’s moon Callisto, and Earth’s Moon would be capable of hosting submoons. [1]
No submoons have yet been found, though.
[1] https://academic.oup.com/mnrasl/article/483/1/L80/5195537