Hi and Welcome to the Board,
It's not clear to me what you mean by (paraphrased) "all of the Headings, not just the ones at the top of each column."
For example, if you have Row Fields State and City, I think you are saying you can add the drop down filter on the Column Headings and see all the States, or all the Cities, but you want to click on Pivot Item "California" and see filters for "Los Angeles, San Diego, San Francisco". Is that correct?
If so, I'm pretty sure that functionality isn't available for PivotTables.