Just looking at some un-answered posts, and came across this one.
So yes you do will most likely need to union these, as you can't blend 2 different geographies in the way you want here. I have recently done a Think Data Thursday webinar, on basically this exact problem (although my were done on routes [lines], not polygons...but the principle's the same)
...also if you have moved to Tableau 10, you might be able to loose the shapefile-generated polygons all-together and build up your custom geographies, from the new custom-territory feature (in short, you can group Tableau geographies, say states, together and create a new custom-territory.
Take a look and let me know if you need any further help?