strictly speaking, no, because a function with a domain of {1,2,3,4} is obviously different than a function with domain of {1,2,3,4,5}.
but...yes there are (several!) copies of S4 inside S5, just take all permutations that fix n, for some particular element n of {1,2,3,4,5}.
the analogy with the reals and the complex numbers is apt, in fact, the real number a is quite a different thing than the 2-vector (a,0) (one lives on a line in a 1-dimensional world, one lives on a line inside a 2-dimensional world) but the isomorphism a<-->(a,0) is "transparent" the 0 in the second coordinate just "comes along for the ride".
so, even though we are used to saying N ⊆ Z ⊆Q ⊆ R ⊆ C, strictly speaking these are all "different" things, what we mean is something like:
"an isomorphic copy of N lies in the isomorphic copy of Z that lies in an isomorphic copy of Q that lies in the isomorphic copy of R embedded within the complex plane".
however, if two objects are isomorphic as SETS, the only difference is "they have different names", it's just a labelling issue. sets have very little structure, about the only things (properties) we can get our hands on is membership/containment and cardinality (which is why logic works so well for them: in/out corresponds to true/false, and containment corresponds to "implies").
realize, however, that if we add additional structure, we have extra things to check for:
when we say N ⊆ Q, we usually mean that N is (isomorphic to) a commutative sub-semi-ring of the commutative semi-ring of Z, that Z is (isomorphic to) a sub-domain of the integral domain Q and that Q is (isomorphic to) a subfield of R, and that R is (isomorphic to) a subfield of C (boy, that's a mouthful).
isomorphism is an equivalence relation, and much of the process of abstraction involves treating "≅" as "=".
so when we speak of the group "S4", what we usually mean is: "any group isomorphic to S4", for example we might mean S4 acting on the set {1,2,3,4}, or acting on the set {a,b,c,d}, we really don't care about "the details".