Sure, that would be helpful. What are the steps to reproducing this? The image alone isn't sufficient enough to see how it's done...
So I attempted the below method to resolve this issue.
Data set used : Sample Superstore
Step 1: Drag postal code into the Rows shelf
Step 2: Select the required Measure fields and Pivot them. Refer below screenshot.
Step 3: Drag Pivot field Names into the Column shelf and Pivot field values into the Label Mark.
Step 4: Rename the Pivot field Names field as "Sales Metrics". You cannot do this on the working pane. So do it on the "Data" Shelf.
The trouble starts here you can create the first set of Parent Header - Child Header combo like this. But Tableau won't allow you to create two pivots in one data source.When you try to do that, Tableau will give option only to add data to the existing pivot.
To get around this, add the same data source again. Don't duplicate the existing data source as this will cause the pivot fields also to be copied over.
Step 5: Create a second pivot in the newly added data source. and repeat the step 1 to step 6. Also hide all the unused fields while doing this to avoid overload.
The Challenge here is to bring all of them together into a dashboard. I am attaching the workbook I used to recreate the problem. Hope it helps. I understand that this is an ugly solution ..especially with the scroll bar... but something is better than nothing
Tableau could be limited in its capabilities in this area. The two scrollbars are highly unattractive, making this solution less desirable than simply not having the parent headers at all. Unfortunately, that isn't really what I'm looking for. Perhaps Tableau doesn't have the capability. It needs to all be contained on one sheet to even be feasible in big data at all, otherwise it'll have to refresh twice, one for each sheet, and when you get into big data, that's very costly.