For the sake of the newbies, it's definitely worth explaining here that Electrum can not create a new nested segwit wallet from scratch. If you want to use nested segwit with Electrum, you need to create the wallet elsewhere and import it in to Electrum.
The best way to do this is to use a reputable hardware wallet which is compatible with Electrum such as Ledger or Trezor.
If you don't have a hardware wallet, then you can use this site:
https://iancoleman.io/bip39/Download the site and run it on an airgapped machine. Generate a 24 word phrase and write it down on paper. Create a new Electrum wallet, select "Standard Wallet", "I already have a seed", and write your 24 word seed in the box. Then click "Options" and check "BIP39 seed". On the next screen, choose the middle check box "p2sh-segwit (p2wpkh-p2sh)", which should then change your derivation path to m/49'/0'/0'. This will create your new wallet with address beginning with "3".