For future reference (my own if nothing else), setting clip = false does indeed do the trick.
using GLMakie
fig = Figure()
ax = PolarAxis(fig[1,1]; rlimits = (5.0, 10.0), clip = false)
lines!(ax, range(0, 2π; length = 101), fill(6.0, 101))
ax_inset = PolarAxis(fig[1,1];
rlimits = (0.0, 3.0), clip = false,
width=Relative(0.3),
height=Relative(0.3),
halign=0.5,
valign=0.5
)
lines!(ax_inset, range(0, 2π; length = 101), fill(2.0, 101))
fig
