I have created stars inside of a nebula system, and then destroyed the nebula without harming the star.
This could have been a bug. I haven't tried it in a while.
Please note: There is no reason that I know of you could NOT change the data files to add "nebula" systems with planets to the game. It's just a matter of editing the systemtypes and quadranttypes files. Could be very interesting. It certainly adds an extra incentive to develop sensor technology.