What kind of package are you reporting off?
If it's a Dimensional package (cube or DMR data source), then context-based filtering should leave the row and column headings intact and just change the numbers in the cells (leaving empty rows or columns where no measure values exist).
If you have a relational package (Query Subjects and Query Items), try using the 'Override Dimension Info' property within your query - you may be able to achieve something similar.
Regards,
MF.