Given O(f(x)), x is almost always understood to be measurement of the
work input to the algorithm. Loop nesting depth is not a measurement of work input, it's a property of the code – "1000^depth" is constant for any given algorithm.
Yes, O(…) is just a mathematical construct, so you can apply it the way you have to mean "the amount of work done for a given input size increases exponentially with respect to the number of nested loops iterating over the input"… but that's not how most people interpret it in the context of a computer algorithm. (The exception would be if the nesting depth were dynamically determined by an input parameter, but I don't think that's what anyone here is talking about.)
Anyway I'm not trying to argue, I agree with your point, but I think everyone here is talking past each other trying to say the same thing, ultimately due to imprecision in semantics.