Solution:
As posted in PLesk forum (https://talk.plesk.com/threads/wordpress-installation-in-sub-folder.341468/)
You cannot do it, because rewrite configurations of the site in /a influence the site in /a/b. Instead, create a subdomain as a separate webspace directory and do the second installation into that subdomain.
I solved by creating the sub-domain and configured properly DNS settings.
Just for curiosity: does anyone know if this happens because of nginx (I never worked with nginx before)? I performed the solution above with other services in the past and it worked just fine.