For nested loops, the inner loop would be part of the “looping macro.” For instance, in your filtration.mac, do another /control/loop command, with a different variable name, e.g.,
/control/loop inner.mac inner_var -0.7 0.7 0.01
Then, inner.mac can refer to both the aliases {inner_var} and {thickness_Fe} as needed. (Any and all aliases you’ve defined at the top level will be visible to all the within-loop macros.)