Martensitic transformation usually creates hierarchical internal structures beyond mere change of the atomic crystal structure. Multi-stage nucleation is thus required, where nucleation (level-1) of the underlying atomic crystal lattice does not have to be immediately followed by the nucleation of higher-order superstructures (level-2 and above), such as polysynthetic laths. Using in situ transmission electron microscopy (TEM), we directly observe the nucleation of the level-2 superstructure in a Cu-Al-Ni single crystal under compression, with critical super-nuclei size L2c around 500 nm. When the sample size D decreases below L2c, the superelasticity behavior changes from a flat stress plateau to a continuously rising stress-strain curve. Such size dependence definitely would impact the application of shape memory alloys in miniaturized MEMS/NEMS devices.