Adobe Draw has layers
Adobe Ideas has layers
There aren't multiple active sketching layers in Sketch
You can save one Sketch to your library, then import it as an image (to use above or below your current document).
Basically, it's like merging a Photoshop doc, then adding a layer to the project.
It's not the answer I like, but I use it for iterations of ideas instead of rendering. Nothing beats Photoshop.
No internal layers: I think that's why Sketch is a companion app to Photoshop (although the exported pngs on PC sadly don't carry an alpha channel). It's very effective as an idea generator.