I don't believe there is a way to completely avoid the blank view as you describe. You can set "Only Relevant Values" on the Submercado filter, but I tested this and if you already have ATR selected and then select EEES PROPIAS, ATR still shows in parentheses.
You could add your vote to the following Community Idea about this topic: https://community.tableau.com/ideas/1713
Additionally, you can work around this issue by creating a combined field from Mercado and Submercado (Select both fields, right-click one and choose Create > Combined Field) and using that to filter in place of the separate Mercado and Submercado fields. This will allow you to only select valid combinations, but I am not sure if it will be the look/experience that you are looking for.
Thank you for you advice, it is helpful but that is not what i am looking for (the look/experience).
Many thanks for taking a time to answer my question