If so, do those blood vessels have no walls because they don't need them because they're in the same tissue as that of a blood vessel wall? Are the cells alligned diffently at the edge of the blood vessel than in the rest of the blood vessel wall? Do blood vessels in blood vessels have an outer wall defined a sudden change in orientation of the cells?
Do blood vessel walls have blood vessels in them?
Yes, they do: the vasa vasorum.
When a blood vessel is too large, like the aorta or the cava, it has vessels to supply blood to their outer layers (where the cells are too far away from the lumen), not only to the Tunica adventitia (if by wall in your question you mean only that most external layer), as you can see in this image:
(note: this image is from a quiz in McGraw-Hill site, and the legend is not correct, "intima" and "media" are swapped)
Those vessels inside vessels are thus called vasa vasorum, which in Latin means exactly this: a vessel ("vasa") of a vessel ("vasorum"). You can read more about them in this Wikipedia page.
If so, do those blood vessels have no walls because they don't need them because they're in the same tissue as that of a blood vessel wall?
No, they do have their own walls. Despite being inside another vessel, the vasa vasorum have the same basic structure of any other vessel with their same width.
Therefore, vasa vasorum vary in size, from vessels with single or multiple smooth muscle layer(s) to simple endothelial channels.
Interestingly, vasa vasorum are normally found next to nerves and lymphatics (see the image above). This close structural relationships "provide evidence that adventitial vasa, nerves, and lymphatics provide arteries and veins with nutrition, neurohumoral input, and an effective pathway to remove waste products from the parent vessel" (Williams and Heistad, 1996).