A method for forming a pellicle for an extreme ultraviolet lithography is provided. The method includes forming a pellicle membrane over a filter membrane and transferring the pellicle membrane from the filter membrane to a membrane border. Forming the pellicle membrane includes growing carbon nanotubes (CNTs) from in-situ formed metal catalyst particles in a first reaction zone of a reactor, each of the CNTs including a metal catalyst particle at a growing tip thereof, growing boron nitride nanotubes (BNNTs) to surround individual CNTs in a second reaction zone of the reactor downstream of the first reaction zone, thereby forming heterostructure nanotubes each including a CNT core and a BNNT shell, and collecting the heterostructure nanotubes on the filter membrane. The metal catalyst particles are partially or completely removed during growing the BNNTs.