$(function(){
    var html = '<li><div>'+
                '<ul data-role="listview" data-inset="true">'+
                    '<li>Hello</li>'+
                    '<li>World</li>'+
                '</ul>'+
            '</div></li>';
    $('#more').click(function(){
        $('#list').append(html).listview("refresh");                      
    });
    $('#more2').click(function(){
        var $li = $(html);
        $li.appendTo('#list')
            .find('ul').listview();
        $('#list').listview("refresh");                    
    });
    
});

Following resources are loaded into result:

  1. jquery.mobile-1.0b1.min.js
  2. jquery.mobile-1.0b1.min.css
<div data-role="page">

    <div data-role="header">
        <h1>Page Title</h1>
    </div><!-- /header -->

    <div data-role="content">    
        <ul id="list" data-role="listview">
            <li>This is normal inset list
                <div>
                <ul data-role="listview" data-inset="true">
                    <li>Hello</li>
                    <li>World</li>
                </ul>
            </div>
            </li>
        </ul>
    </div><!-- /content -->

    <div data-role="footer">
        <a id="more" href="#">More</a>
        <a id="more2" href="#">More2</a>
    </div><!-- /footer -->
</div><!-- /page -->

</body>