Yes, a building can have multiple parent properties (be on multiple campuses). However, there are no “nested” campuses (grandparent properties); there are only parent and child properties. And both parent properties must be in the same account (you can't add a shared property to one of your campuses).
A college provides a good example of how you can associate a single-building with more than one campus. You could benchmark a college’s ten buildings together, and also benchmark the four dormitories together. In this case, you would create two parent properties (one for the college as a whole, and one for the four dormitories), and associate the dorms with both parent properties.