The submenu should be QMenu, and not QAction:
tools = fileMenu.addMenu('&Tools')
prevMenu = QtGui.QMenu('Preview',self)
prevInNuke = QtGui.QAction("Using &Nuke",prevAction)
tools.addMenu(prevMenu)
prevAction.addAction(prevInNuke)
It might be a little easier if you used convenient methods:
tools = fileMenu.addMenu('&Tools')
prevMenu = tools.addMenu('Preview')
prevAction = prevMenu.addAction('Using &Nuke')
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