Consider the integral

NIntegrate[Exp[-NIntegrate[x, {x, 0, y}]], {y, 0, 2.8}]

It displays an error x = y is not a valid limit of integration, however, gives some number. What is a reason for the error and how to interpret the numeric result?

Of course, I can easily replace the integration symbol in the exponent by the value of the integral, however, this is only a toy example demonstrating the problem.