I am trying to say, in Spanish:
A mystery wrapped in an enigma
Would:
Un misterio envuelto en un enigma
be correct grammar?
It is the way I would translate it too. Sounds perfectly correct to me.
Would be OK too (to expand a little bit my answer):
Un enigma que envuelve un misterio
or
Un enigma que encierra un misterio
or even
un enigma dentro de un misterio
(Although this is less close to your original sentence)
Actually in Spanish we say that mysteries and/or enigmas envuelven
or encierran
something.
Un misterio (o enigma) envuelve la desaparición del avion en el triángulo de las Bermudas.
Qué misterios encierra la Casa Encantada de la Montaña Tenebrosa?
Un misterio envuelto en enigma (without un) sounds more proficient, unless you need to mean a sole enigma, (only one in number).