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Currently you are unable to cross-datasource join Published Data Sources. I believe this feature will be available in the future, but don't know the time-frame.
Your options are (as you mentioned); Connect to the original data sources in Tableau Desktop, and join them there. Or, if blending the data sources works for you, you can do that.
All the best
Thanks Glen, saves me the trouble of digging around trying to implement this.
I'll keep an eye out for this feature and will look to add it/bump it up to Tableau..