Let $\curly{R}$ be an o-minimal expansion of the real field, and let $\curly{L}_{\rm nest}(\curly{R})$ be the language consisting of all nested Rolle leaves over $\curly{R}$ . We call a set nested sub-Pfaffian over $\curly{R}$ if it is the projection of a positive Boolean combination of definable sets and nested Rolle leaves over $\curly{R}$ . Assuming that $\curly{R}$ admits analytic cell decomposition, we prove that the complement of a nested sub-Pfaffian set over $\curly{R}$ is again a nested sub-Pfaffian set over $\curly{R}$ . As a corollary, we obtain that if $\curly{R}$ admits analytic cell decomposition, then the Pfaffian closure $\curly{P}(\curly{R})$ of $\curly{R}$ is obtained by adding to $\curly{R}$ all nested Rolle leaves over $\curly{R}$ , a one-stage process, and that $\curly{P}(\curly{R})$ is model complete in the language $\curly{L}_{\rm nest}(\curly{R})$ .