Hey Hakesh!
We do support custom components within Embedded apps, and most should work without any adjustments. However, your custom component will need to be resilient to being run inside of a doubly nested iframe (the embedded app is run inside of an iframe, and the custom component within that is run within a second iframe).
That's assuming you are using the v1 version, and not the new v2 version of custom components that is currently in beta. For v2 we don't support embedded apps yet.
Let me know if you run into any issues,
Dan