For that single rule you have, there isn't any shorter way to do it. The child combinator is the same in CSS and in Sass/SCSS and there's no alternative to it.
However, if you had multiple rules like this:
#foo > ul > li > ul > li > a:nth-child(3n+1) {
color: red;
}
#foo > ul > li > ul > li > a:nth-child(3n+2) {
color: green;
}
#foo > ul > li > ul > li > a:nth-child(3n+3) {
color: blue;
}
You could condense them to one of the following:
/* Sass */
#foo > ul > li > ul > li
> a:nth-child(3n+1)
color: red
> a:nth-child(3n+2)
color: green
> a:nth-child(3n+3)
color: blue
/* SCSS */
#foo > ul > li > ul > li {
> a:nth-child(3n+1) { color: red; }
> a:nth-child(3n+2) { color: green; }
> a:nth-child(3n+3) { color: blue; }
}