生成表头以后，循环每一列的时候，修改一下表头不就行了？

Dim doc As New PrintDoc \'定义一个新报表
Dim rt As New prt.RenderTable \'定义一个新表格
Dim tb As Table = Tables("表A")
Dim hd As Integer = tb.Headerrows \'获得表头的层数
rt.Width = "Auto" \'表格宽度为自动,也就是等于各列设置宽度之和
rt.Style.Font = tb.Font
tb.CreateReportHeader(rt,False) \'生成表头,包括所有列

For c As Integer = 0 To tb.Cols.Count -1 \'逐列设置和填入内容
    Dim ary() As String = tb.cols(c).Caption.split("_")
    For i As Integer = 0 To ary.length - 1
        rt.Cells(i, c).Text = ary(i)
    Next
    rt.Cols(c).Width = tb.Cols(c).PrintWidth \'列宽等于实际列宽
    If tb.Cols(c).IsNumeric OrElse tb.Cols(c).IsDate Then \'如果是数值或日期列
        rt.Cols(c).Style.TextAlignHorz = prt.AlignHorzEnum.Right \'数据水平靠右
    End If
    For r As Integer = 0 To tb.Rows.Count -1 \'开始填入该列内容
        rt.Cells(r + hd, c).Text = tb(r,c)
    Next
Next
rt.Style.Gridlines.All = New prt.Linedef(Color.Gray) \'灰色网格线
rt.CellStyle.Spacing.All = 0.5 \'单元格内距设为0.5毫米
rt.RowGroups(0, tb.HeaderRows).Header = prt.TableHeaderEnum.All \'利用行组功能设置表头
doc.Body.Children.Add(rt) \'将表格加入到报表
doc.Preview()