You won't find an example.
Proposition: Given $Z\subseteq Y\subseteq X$, if both $Y\subseteq X$ and $Z\subseteq X$ have the HEP, then $Z\subseteq Y$ has the HEP.
To prove this it will suffice to define a retraction
$$r:Y\times I\rightarrow(Z\times I)\cup (Y\times 0).$$
The trick to this is as follows. As shown here, because $Y\subseteq X$ has the HEP, we can find a continuous function $u:X\rightarrow[0,1]$ such that $(i)$ $Y\subseteq u^{-1}(0)$, and $(ii)$ there is a retraction $s:U\rightarrow Y$ where $U=u^{-1}[0,1)$.
Satz 1 (Dold [1]): The inclusion $Z\subseteq U$ has the HEP. $\blacksquare$
Consequently there is a retraction
$$t:U\times I\rightarrow (Z\times I)\cup(U\times 0).$$
We define $r$ to be the composite
$$r:Y\times I\hookrightarrow U\times I\xrightarrow{t} (Z\times I)\cup(U\times 0)\xrightarrow{s\times 1}(Z\times I)\cup(Y\times 0).$$
This makes sense since the retraction $s$ fixes $Z\subseteq Y$ pointwise. Evidently $r$ has the required propreties.
$\blacksquare$
Remarks: I haven't assumed that either of the inclusions is closed and it is not necessary to do so. Neither the proposition nor its proof are mine.
[1] Dold, A. Die Homotopieerweiterungseigenschaft (=HEP) ist eine lokale Eigenschaft. Invent Math 6 (1968), 185–189 (1968).