Hey Lukas!
Hm, I think their whole menu is custom coded using the "HTML at top" field in "Misc Options" and some custom javascript.
At the moment lay theme actively disables submenus. So even if you try to create submenus it probably won't work.
I'm going to change that for an upcoming version. But I think the support for submenus is going to be really basic at first. I'll try to remember and write you when there's support for submenus!