I'm not sure why the spy
library isn't suitable, but you can achieve what you want by using
\newsavebox{\mybox}
\savebox{\mybox}{%
<code for miniature figure>
}
and then \usebox{\mybox}
at an appropriate place on the axis. Note that you can't use a node
directly as pgfplots
won't allow you to nest axis.

% arara: pdflatex
\documentclass{standalone}
\usepackage{pgfplots}
\begin{document}
\newsavebox{\mybox}
\savebox{\mybox}{%
\begin{tikzpicture}
\begin{axis}[xmin=0,xmax=25,
ymin=0,ymax=1,
grid=both,
width=6cm,
height=3cm]
\addplot expression[domain=1:25,red,mark=none,very thick]{sin(deg(1/x))};
\end{axis}
\end{tikzpicture}
}
\begin{tikzpicture}
\begin{axis}[xmin=0,xmax=25,
ymin=0,ymax=1,
grid=both]
\addplot expression[domain=1:25]{sin(deg(1/x))};
\draw (axis cs: 13,.4)node{\usebox{\mybox}};
\end{axis}
\end{tikzpicture}
\end{document}