David Lewis, uses fictional worlds as a way of exploring the idea of the proximity of possible worlds, but confesses he's not quite sure what to do with fictions within fictions.

One thing some writers have done is to write the actual (our-word) fictional work that some fictional work only mentions.  They give it to us for our use.  (This is the converse of the sort of thing that Borges and Lem do.)

A few such useful texts spring to mind right away, in chronological order:

Prencipe Galeotto: Dante has Francesca say of the book she and Paolo are reading together when they stop reading, "Galeotto fu 'l libro e chi lo scrisse."  So Galeotto -- Prince Galahad (perhaps; it's not clear whether Dante identified Galeotto and Galahad), vicariously catalyzing their mutual seduction -- is both the author and the book itself. Boccaccio gives the Decameron the sub- or alternative title Prencipe Galeotto, making it into the book that Paolo and Francesca were reading, and promising it as a conversation piece for later lovers to seduce each other with.

Spenser completes one of Chaucer's Canterbury Tales, the Squire's, in Book IV of The Faerie Queene.  (Spenser takes it as complete -- a real thing that Chaucer mentions, but that we don't have.

"Where is the Life that Late I Led?"  Petruchio interrupts himself after he starts singing this song in Taming of the Shrew.  Cole Porter gives us the whole song (with a bridge and a slight modification of Petruchio's second line).

"Childe Roland to the Dark Tower Came": Browning writes the poem that Edgar quotes in King Lear.

The Transfiguration of the Commonplace: From Muriel Spark's Prime of Miss Jean Brodie, the book that Sandy Stranger writes when she becomes a nun (Sister Helena). Arthur Danto (not Dante!) then wrote a book about the philosophy of art with that title.

The Secret Goldfish: D.B.'s "terrific book of short stories" in Catcher in the Rye, and the title of a book of short stories by David Means.

Can you think of others?