subsites in subsite in sharepoint online

Hello,

I have a customer who works with a lot of small projects.

They want a mailbox for each project and a doc library.

I create a site with some subsites.  One of them is projects.

Under this projects site I create a subsite per project with a mail and doc app.

But they have more than 10000 projects and more coming.

Is it a problem to have that many subsites under one site?

And if so...how I solve this?  Create 1-1000, 1001-2000, 2001-3000, ,.... subsites and put the projects there?

thanks!