URDF Mesh filetypes?

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I can't find a proper reference for it right now, but the mesh formats supported by RViz at least are (from wiki/rviz/DisplayTypes/Marker - The Marker Message - Object Types - Mesh Resource):

Can be any mesh type supported by rviz (binary .stl or Ogre .mesh in 1.0, with the addition of COLLADA (.dae) in 1.1) [..]

So: stl, dae and mesh.

I'm actually trying to use another URDF file as a mesh filetype, but it doesn't seem to be possible.

No, it's not. If you are trying to 'make multiple copies' of a single model (fi to create four legs or two identical arms), then you should take a look at xacro, which would allow you to instantiate multiple instances of a single macro (template) and connect it to the right place(s) in your urdf.