As Waliur mentioned, unfortunately it cannot be done via custom groups. I have added you as a submitter to a similar feature request and someone from the Dundas Support team will notify you when it's ready.
If you have a Developer seat, there are several ways to create a static hierarchy using the Data Cube Designer, which you can then use to arrange the columns. The best method to use will depend on your requirements and data.
For example, I managed to acheive what you need with the following:
1. Create a simple Data Input cube
2. Create a hierarchy based on the Data Input cube
3. Use an Unpivot transform and the new hierarchy on a data cube with the original data
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In this case, you have to uncheck the property Show Redundant Column Headers, and this is my result:
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