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If you import an Excel sheet with a merged cell, it will place the value of the merged cell in the first column that it exists in. Whether or not that field was in the Excel file originally, It is not an Alteryx functionality specifically to have a header over two or more columns in Alteryx. That being said, there are ways you can work around this in Alteryx. I have attached a workflow with 3 examples of how this could be done in Alteryx.
1. Use the formula tool to combine columns and rename the column header. This will merge the four columns into two columns with a "|" separator
2. Use the report text tool to format the data the way you would like to see it
3. Alter the table tool xml with the formula tool to change the width of the "location" to 2 columns using "colspan." This example is not supported as it is a custom alteration of the xml, but it is a possible solution to the problem you are facing. The example I have shared only does this alteration for Location 1.