Menu: Geometry->Edit->Hole volume
It is possible to add holes to a volume.
To do so, start by creating the interior volumes as independent volumes. After this, click the Hole button and select the outside volume. Then, select the interior volumes that form every hole, one by one. Finish with escape (see Escape).
It is possible to specify 'NoDeleteHoles' to not delete the volumes used to create the holes (or 'DeleteHoles' to delete them)