It can be done, at least with the epslatex terminal. First, for my example, I am going to generate a pdf file which is a gnuplot-generated figure:
set term epslatex standalone
set output "plot1.tex"
plot sin(x)
Now, outside gnuplot, I generate the pdf file (named plot1.pdf):
pdflatex plot1.tex
which looks like this:

To embed this into a gnuplot graph, I use again the epslatex terminal and embed plot1.pdf as I would do with any pdf file in a latex document, using the \includegraphics[]{} environment, with a gnuplot label:
set term epslatex standalone
set output "plot2.tex"
set label at graph 0.75,0.25 '\includegraphics[width=2cm]{plot1.pdf}'
plot x
And, again run pdflatex:
pdflatex plot2.tex
that generates plot2.pdf, which looks like this:

By changing the location of the label you can change the location of the embedded pdf; by changing the width you can change, guess what, the width of the embedded pdf.