Ed Hansberry has the solution to a tricky problem:
It is fairly common for users to format Excel reports with headers that are comprised of two or more rows for the header, rather than using a single cell with word wrap on. I’ve seen text files with similar issues as well. Consider the following example:
Getting this info into Power Query can sometimes be a challenge. I’m going to show you two ways to do it. The first way will be to do it manually mostly using the Power Query user interface. The second way will be a custom function that will do all of the work for you. For simplicity’s sake, I’ll use Power Query in Excel for this since my data is in Excel already, but the same logic would hold if you were importing the data into Power Bi. We do not want to consolidate the headers in Excel. You’ll just have to do it manually again the next time you get a file from someone. Remember – never pre-transform your data before you transform it in Power Query.
The nice thing is that Power Query makes this tricky problem fairly easy to solve.