The following code demonstrates the behaviour.
BEGIN
CASE 1
WHEN 2
THEN
SELECT CASE dummy WHEN 1 THEN 2 ELSE 3 END FROM DUAL;
WHEN 3
THEN
NULL;
ELSE
NULL;
END CASE;
NULL;
END;
Clicking on the [-] in line 4 (first THEN) the editor shows:

If I replace the SELECT statement in line 5 with NULL; it works as expected:

