First some terminology:
Lets call a chord connecting two adjacent vertices a boundary chords. A non-boundary chord then defines a kind of "corner", which can be nested. The image in the question has three top-level corners, two of which are nested. (This is not a rigorous definition)
I plotted a few simple solutions for small primes and found that depth-2 nested corners seemed to be enough most of the time. I asked chatGPT to find a construction with at most depth-2 corners, and it gave the following construction:
I will describe the construction using a simple encoding of the slopes.
1. Encoding the slopes
Label the vertices of the regular $2p$-gon by
$$
0,1,\ldots,2p-1.
$$
In a noncrossing perfect matching, every edge joins an even vertex to an odd vertex. For an edge $\{i,j\}$, define
$$
s(i,j)=\frac{i+j-1}{2}\pmod p.
$$
Two edges are parallel exactly when they have the same value of $s$. Thus we want the $p$ edges to have the $p$ different slopes
$$
0,1,\ldots,p-1.
$$
Suppose now that we construct the matching out of consecutive blocks. For one block, number its vertices locally by $0,1,\ldots,2q-1$. Make a binary word of length $2q$, putting a $1$ in position
$$
\frac{i+j-1}{2}
$$
for every edge $\{i,j\}$ in the block.
For example, the ordinary six-vertex corner
$$
(0,5),(1,2),(3,4)
$$
has slope positions $2,1,3$, and hence word
$$
011100.
$$
If blocks are put consecutively around the polygon, their binary words are simply concatenated. This is because translating both endpoints of an edge by $r$ translates its slope index by $r$.
So a complete matching gives a binary word
$$
Y=Y_0Y_1\cdots Y_{2p-1}
$$
with $p$ ones.
Positions $i$ and $i+p$ represent the same slope modulo $p$. Therefore the matching has no two parallel edges iff exactly one of these two positions is $1$, i.e.
$$
Y_{i+p}=1-Y_i.
$$
Equivalently,
$$
\boxed{Y=X\overline X}
$$
for some binary word $X$ of length $p$, where $\overline X$ denotes bitwise complement.
Thus the geometric problem has become a word-concatenation problem.
2. Seven small depth-two blocks
Write
$$
T(q;r_1,\ldots,r_m)
$$
for the following block on $2q$ vertices. Join the first vertex to the last one, and partition the vertices inside this chord consecutively into blocks of sizes
$$
2r_1,\ldots,2r_m.
$$
We only use $r_i=1$ or $3$:
- $r_i=1$ means one boundary edge;
- $r_i=3$ means an ordinary six-vertex corner.
Thus all of these blocks have depth at most $2$.
We need the following seven blocks:
$$
\begin{array}{c|c|c}
\text{name}&\text{block}&\text{slope word}\\ \hline
E&\text{one boundary edge}&10\\
A&T(6;1,1,3)&010101111000\\
B&T(6;3,1,1)&001111010100\\
P&T(7;1,1,1,1,1,1)&01010111010100\\
U&T(7;1,1,1,3)&01010110111000\\
V&T(7;3,1,1,1)&00111011010100\\
D&T(7;3,3)&00111010111000.
\end{array}
$$
For example, $A$ consists of an outer chord on $12$ vertices, with two boundary pairs and then a six-vertex corner inside it.
3. Four infinite families
Now concatenate these blocks as follows:
$$
\begin{array}{c|l}
p&\text{blocks}\\ \hline
31+12k&A^{k+1}PB^{k+2}A\\[1mm]
47+12k&A^{k+2}UE^2B^{k+3}ED\\[1mm]
53+12k&A^{k+1}UE^2DE^2B^{k+2}EDE^2D\\[1mm]
61+12k&A^{k+3}E^2VEB^{k+3}DEU .
\end{array}
\label{1}
\tag{1}
$$
Here $k\ge 0$.
The total lengths are respectively
$$
2(31+12k),\quad
2(47+12k),\quad
2(53+12k),\quad
2(61+12k),
$$
so these really are matchings on $2p$ vertices.
Substituting the short binary words above into \eqref{1}, the resulting word is of the form $X\overline X$. Explicitly, if
$$
a=010101111000,
$$
the first halves are
$$
\begin{aligned}
X_{31+12k}
&=a^{k+1}0101011101010000111,\\
X_{47+12k}
&=a^{k+2}01010110111000101000111,\\
X_{53+12k}
&=a^{k+1}01010110111000101000111010111000101000111,\\
X_{61+12k}
&=a^{k+3}1010001110110101001000111.
\end{aligned}
$$
Hence every slope occurs exactly once.
There is also a simple reason that the construction can be extended by $12$ indefinitely. Put
$$
u=00111,\qquad v=1010100.
$$
Then
$$
B=uv,\qquad \overline A=vu.
$$
Consequently
$$
vB^m=(\overline A)^m v,
$$
which is the word identity behind the $A/B$ repetitions in \eqref{1}. The remaining parts are fixed finite words.
4. The two exceptional starting primes
The four progressions in \eqref{1} cover the four possible residue classes of primes modulo $12$, but the $1$ and $5$ classes start a little late. The missing primes are $37$ and $41$.
They have the depth-two constructions
$$
p=37:\qquad AE^2VE BDEU,
$$
and
$$
p=41:\qquad UE^2DE^2BED E^2D.
$$
Again, direct substitution gives a word $X\overline X$.
For instance, for $p=31$ the first family simply gives
$$
APBBA,
$$
which has nine non-boundary chords.
5. Conclusion
Every prime $p>3$ is congruent to
$$
1,5,7,\text{ or }11\pmod{12}.
$$
The four infinite families above start at
$$
61,\quad53,\quad31,\quad47
$$
in these four residue classes, respectively, and $37,41$ are handled separately.
Therefore
$$
\boxed{\text{for every prime }p\ge31
\text{ there is a noncrossing perfect matching with no parallel edges}}
$$
and moreover the matching can always be chosen to have corner-depth at most $2$.
So nesting is necessary for prime $p$, but one level of nesting already suffices for every prime $p\ge31$.