First, I have to say that I don’t think running a VM within a VM is a good idea. While it is possible to do this (Charles from Corona Geek has done it), you may not be happy with the performance of it. Plus, it’s incredibly demanding on your hardware. Particularly RAM, because you will effectively be running 4 operating systems at the same time (OS X, Windows Desktop, Windows Metro, and WP8). Microsoft recommends that you have at least 4 GB of RAM when running the WP8 emulator on Windows on its own dedicated PC. So, on a Mac via a VM, you’ll need more than 4 GB of RAM. This also means that you’ll need to set up your Windows virtual machine with 4 GB of RAM.
Microsoft’s system requirements for the WP8 emulator can be found here…
http://msdn.microsoft.com/en-us/library/windows/apps/ff626524(v=vs.105).aspx
From the link above, note that Microsoft’s WP8 emulator requires that Intel CPUs to support SLAT, which is a hardware feature. If your CPU does not support SLAT, then you cannot run the WP8 emulator. If your CPU does support SLAT, then it might be an issue with Parallels not support SLAT because that VM software will have to emulate/expose that hardware feature. The link above provides instructions and a command line tool that you can use to detect if your CPU supports this feature.
Also, if you’re based in the USA, Amazon sells unlocked WP8 devices for less than $100. They used to sell a Lumia 520 for $33, but it looks like that deal is over.