Nanodroplets containing mixtures of silicone oil and squalene are dispersed in a simple aqueous surfactant solution, quenched in liquid ethane, and examined using cryogenic transmission electron microscopy (CTEM). Depending on the phase of ice that forms around the nanodroplets and on the composition of the oil mixture, nanoinclusions can be observed inside oil nanodroplets, independent of surfactant type. Our observations suggest that these nanoinclusions arise from nucleation of vapor cavities as the water freezes and expands while the oil remains liquid during the quench.