How do you write "Mary said that Bob said that kelly said that ..." and on and on?

I wouldn’t phrase it or try to use quotation marks. I’d phrase it more or less as this:

“I heard from Mary <blah>; she had heard it from someone else”

or

“Because this information came through several people, it can’t be trusted 100%, but this is what I learned:” <blah>

Legally, it is hearsay.

If I were writing a story or a recap of a conversation, I would phrase it as, “this is a chain of conversations, from Kelly to Bob, to Mary, that last night Flo…”

And really, it is only second hand information. It’s like the old telephone game.

Thank you both. I will have to get back as soon as I formulate what I mean.