When a page break occurs in a nested tcolorbox the nested tcolorbox
will be placed onto a new page. One way I could get round this behaviour is to create two separate boxes, one after the other, with the second one recreating the style of the nested box.
At the moment I haven't managed an exact match but there is an interior style setting that could be used to apply a more advanced style to the background colour that replicates the white border between the blue outer border and the grey background but I am not experienced enough to know if that is even possible.
Does anyone have any idea how the style could be replicated?
\documentclass{article}
\usepackage[breakable,skins]{tcolorbox}
\usepackage{lipsum}
\newtcolorbox{OuterBoxOne}{%
enhanced,
colback=white,
colframe=blue,
}%
\newtcolorbox{InnerBoxOne}{%
enhanced,
colback=gray,
colframe=white,
}%
\newtcolorbox{OuterBoxTwo}{%
enhanced,
colback=white,
colframe=blue,
bottomrule=0mm,
sharp corners=south,
}%
\newtcolorbox{InnerBoxTwo}{%
breakable,
enhanced,
colback=gray,
colframe=blue,
before=\vspace{-5pt},
sharp corners=north,
toprule=0cm,
}%
\begin{document}
\begin{OuterBoxOne}
\lipsum[1]
\begin{InnerBoxOne}
\lipsum[1]
\end{InnerBoxOne}
\end{OuterBoxOne}
\pagebreak
\begin{OuterBoxTwo}
\lipsum[1]
\end{OuterBoxTwo}
\begin{InnerBoxTwo}
\lipsum[1]
\end{InnerBoxTwo}
\end{document}