The usual answer will go like this:
Since $2 \not | \ 3$ and $\mathbb{F}_{p^r} \subset \mathbb{F}_{p^s}$ if and only if $r | s$, then $\mathbb{F}_9 \not\subset \mathbb{F}_{27}$.
However, I'm interested in a proof that does not require any use of finite fields other than the fact that the quotient of a field $\mathbb{F}_p$ with an irreducible polynomial of degree $n$ in $\mathbb{F}_p[t]$ results in a field of order $p^n$, and that if two sets, $A$ and $B$ are such that $A \subset B$, then there exists and injection $g:A \to B$ (the identity).
So first I constructed explicitly two fields of $9$ and $27$ elements by taking the quotient of $\mathbb{Z}_3$ with $f_1(x)=x^2+1$ and $f_2(x)=x^3+2x^2+1$ respectively. Now I think I should prove somehow that there is no injection between those fields, but I'm stuck on this part, so amy help will be highly appreciate. Thanks in advance!
If $\Bbb F_9 \subset \Bbb F_{27}$, then the groups of invertible elements should be in the same relation, i.e. $\Bbb F_9 ^* \subset \Bbb F_{27} ^*$. But $\Bbb F_9 ^*$ has $8$ elements, while $\Bbb F_{27} ^*$ has $26$, and $8 \nmid 26$, so $\Bbb F_9 \not\subset \Bbb F_{27}$.
In fact, the argument can be extended: if $\Bbb F_{p^m} \subset \Bbb F_{p^n}$, then their corresponding groups of invertible elements should be in the relation $\Bbb F_{p^m} ^* \subset \Bbb F_{p^n} ^*$, so their orders should be in the relation $p^m - 1 \mid p^n - 1$. Let $n = km + r$ with $k \in \Bbb N$ and $0 \le r < m$. Then
$$p^n - 1 = (p^m)^k p^r - 1 = [(p^m - 1) + 1]^k p^r -1 \equiv p^r - 1 \pmod {p^m - 1} .$$
Since $p^m - 1 \mid p^n - 1$, we must have $p^r - 1 \equiv 0 \pmod {p^m - 1}$. Since $0 \le r < m$, we must have $p^r - 1 = 0$, so $r = 0$ and thus $m \mid n$.
The converse is clear: if $m \mid n$, then $\Bbb F_{p^m} \subset \Bbb F_{p^n}$.
This is probably the shortest proof of "$\Bbb F_{p^m} \subset \Bbb F_{p^n} \iff m \mid n$".