As the X-ray microscopy approaching higher spatial resolution, the associated depth of field dramatically shrinks, which limits the sample thickness without sacrificing resolution. A recent development on multi-slice ptychography method decomposes the X-ray-sample interaction into a series of planes, and on each plane the projection approximation satisfies. This approach effectively extends the achievable depth of field. However, since the depth resolution is provided by the z-component of high-q diffraction signal projected on the curved Ewald sphere, typical multi-slice ptychography measurements with X-rays requires 10s of seconds dwell time per scan point to collect adequate high-q signal. Here, we present an approach to conduct multi-slice ptychography measurement using nano-focused beam from multilayer Laue lenses. Using the data inside the intense holographic area, the dwell time can be reduced to 0.05 second level, while reaching 8 nm lateral resolution and 10 um depth resolution. This approach is successfully integrated with on-the-fly scan mode, which greatly improves the throughput of multi-slice ptychography method as a high-resolution 3D imaging technique.