The feature is available as of Test Studio Ultimate R2 2018 (v.2018.2.530).
The implemented integration between Test Studio Web&Desktop and Test Studio for APIs projects allows you to insert an API test and execute it as a step in a web test.
To add a new API test as step first create a web test. Then the option is available in the Step Builder among the steps in the Common section.
Double click it to trigger the 'Select API test' dialog.
The available options are either to create a new test or import an existing one.
'Create Test' creates and opens an empty API project which is nested in the Test Studio project's root folder. The integrated project allows you to create new API tests.
'Import Existing Test' allows you to browse your files and add an already designed API test ready for execution. The imported API test will be inserted in the nested API project if one already exists or will create a new one containing the added test.
Once a test file is selected a warning message appears that any external dependencies need to be added manually.
Once the test is imported click on it and then the Select button. If there are multiple API tests in the nested project they all will be listed in this view and available for execution as step in a web test.