Was thinking about this the other day.
NN shoots from the penalty spot (xG 0.76), misses but scores on the rebound (say, xG 0.69). The xG for that situation will be (as I understand it) 0.9256.
Which seems to make sense at first glance: the chance of scoring from a penalty + rebound (from a good position) is considerably higher than scoring from the penalty itself (alone). This is in line with how most fans will perceive the situation - and I'm sure that if you analyzed a large sample of such situations (missed pen + rebound taken from good position), the numbers would certainly be in the ballpark.
I'm less certain about a situation where a single attack includes, say, three finishes from xG positions 0.18, 0.21 and 0.29. In that situation the official xG might be artificially high - or?
To be precise, I suspect that a specific analysis of similar (enough) situations where an attack results in 3 finishes from similar (enough) positions may actually yield a (significantly) lower number.
The xG calculated from the situation in question (three finishes: 0.18, 0.21 and 0.29) will be generated from overall/general data (positions and other relevant factors) - not from a statistically meaningful number of similar situations (as such).