A Parallel.ForEach does not necessarily execute in parallel -- it is just a request to do so if possible. Therefore, if the execution environment does not have the CPU power to execute the loops in parallel, it will not do so.
If the actions on the loops are not related (i.e., if they are separate and do not influence each other), I see no problem using Parallel.ForEach both on inner and outer loops.
It really depends on the execution environment. You could do timing tests if your test environment is similar enough to the production environment, and then determine what to do. When in doubt, test ;-)
Good luck!
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