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It looks like it is possible, but I dont have a ready data set to completely validate my findings. Assuming you are using the latest version, the steps I used are as follows:
1. Create a calculation that extracts the first three digits of zip. ( LEFT(str([Postal Code]), 3) ) Replace Postal code with the appropriate dimension (zip, etc) from your data.
2, Create a hierarchy with zip3 and Postal Code (Zip5).
3. Right click the newly created calc and go to "Geographic Role" -> "Create From" -> "Postal Code" (again - make sure to use your specific dimension that represents Zip).
Now you should be able to use that in any heatmap viz. it should work.
Having said that - I think it is important to clarify that zip codes dont always translate into shapefiles. For example - in the US there are some zip codes (in Alaska) that dont map very well, as well as there are zipcodes that represent military ships.
Great, glad to hear it. If the response was satisfactory, please mark the response as "answered" so that it is taken off the queue. Thank you!