As specified here https://developers.google.com/google-apps/gmail/gmail_inbox_feed, I can get a feed of unread emails under a label 'work' by simply calling https://mail.google.com/mail/feed/atom/work/
But what to do in case I have nested labels? i.e. in case I have a label named 'Important' nested under 'Work'
You need to replace all slashes with dashes:
If your nested label is Work/Unpleasant the url is:
https://<user>:<pw>@mail.google.com/mail/feed/atom/Work-Unpleasant