Some data sources do not utilize Union. Are you working with an extract or a live connection? Union Your Data has a list of data sources supported and I do not see Splunk on that list at this time.
FYI There's a sneaky way to do a union when your data source doesn't have Union support in Tableau using a cross data source join:
1) do a full outer join on the two (or more) tables using a join calculation where one side is 1 and the other side uses 2.
2) write calculations to merge the necessary fields, usually something like IFNULL([myField from L], [myField from R])